Polyelectrolyte complexes (PECs) are materials formed when mixing aqueous solutions of polycations and polyanions, resulting in a polymer‐dense complex phase, separating out from a polymer‐poor supernatant phase. Ever since the first observation of this type of polymeric material almost a century ago, these ionic assemblies have attracted continued interest, not only because of the significant roles they play in diverse natural and biological systems but also due to their broad utility in a wide range of applications, particularly those that involve encapsulation and aqueous adhesion, such as drug delivery, underwater coating, water treatment, and food industry. In this article, we first introduce the key factors that govern the self‐assembly process of PECs and highlight several main industrial and biological applications. Next, we discuss the recent experimental, computational, and theoretical advancements in providing an in‐depth physical understanding of this important class of material from the perspectives of phase behavior, structural model, dynamics, water content, and solid–liquid transition.