Polyelectrolyte multilayer (PEM) films and particularly hollow capsules composed of PEM shells have gained significant interest since their introduction. Their compositional versatility and easiness of preparation via so-called layer-by-layer assembly led to the development of numerous systems containing also stimuli-responsive components. This paper reviews the achievements related to the formation, determination of structure, and properties of PEM films and capsules responding to major physical, chemical, and biological stimuli. Their applications as e.g., microcarriers for controlled delivery release of active components, substrates for controlled cells' growth, coatings for enhanced surface adhesion, or self-healing anticorrosive systems are shown and discussed. The influence of various stimuli on integrity, permeability of the films or capsules shell are presented together with related applications in biomedicine for controlled drug release as well as in biotechnology and industrial protective coatings.