Herein, poly (allylamine hydrochloride) (PAH)/ poly (styrene sulfonic acid) sodium salt (PSS) microcapsules of (PAH/PSS)2PAH (P2P MCs) and (PAH/PSS)2 (P2 MCs) were obtained by a layer-by-layer method. The P2 MCs show high adsorption capacity for Rhodamine B (642.26 mg/g) and methylene blue (909.25 mg/g), with an extremely low equilibrium adsorption time (~20 min). The P2P MCs exhibited high adsorption capacities of reactive orange K-G (ROKG) and direct yellow 5G (DY5G) which were 404.79 and 451.56 mg/g. Adsorption processes of all dyes onto microcapsules were best described by the Langmuir isotherm model and a pseudo-second-order kinetic model. In addition, the P2P MCs loaded with reactive dyes (P2P–ROKG), could further adsorb rhodamine B (RhB) dye, and P2 MCs that had adsorbed cationic MB dyes could also be used for secondary adsorption treatment of direct dye waste-water, respectively. The present work confirmed that P2P and P2 MCs were expected to become an excellent adsorbent in the water treatment industry.