Step-wise adsorption of polyelectrolytes is used for the fabrication of micro- and nanocapsules with determined size, capsule wall composition and thickness. The capsule walls made of polyelectrolyte multilayers exclude high molecular weight compounds. Assembling of lipid layers onto these polyelectrolyte capsules prevents the permeation of small dyes. Encapsulation of magnetite nanoparticles is demonstrated and the features of these novel capsules are discussed.