Multilayered and multicellular structures are indispensable for constructing functional artificial tissues. Engineered vascular-like microstructures with multiple layers are promising structures to be functionalized as artificial blood vessels. In this paper, we present an efficient method to construct multilayer microtubes embedding different microstructures based on direct fabrication and assembly inside a microfluidic device. This four-layer microfluidic device has two separate inlets for fabricating various microstructures. We have achieved alternating-layered microtubes by controlling the fabrication, flow, and assembly time of each microstructure, and as well, double-layered microtubes have been built by a two-step assembly method. Modifications of both the inner and outer layers was successfully demonstrated, and the flow conditions during the on-chip assembly were evaluated and optimized. Each microtube was successfully constructed within several minutes, showing the potential applications of the presented method for building engineered vascular-like microstructures with high efficiency.