Four polyelectrolyte complexes were formed through the self-assembly of poly-N-ethyl-N,N-dimethylamino ethyl methaerylate (PEDEM) and poly-N-ethyl-4-vinylpyridinium (PEVP) cations with methyl orange (MO) and metanil yellow (MY) anions in water. The FTIR spectra showed that the assembly was formed chiefly through electrostatic force and hydrophobic interaction between polyelectrolytes and organic dyes without new bonds emerging. The fluorescence spectra revealed that the emission waves of the complexes of PEDEM-MY and PEDEM-MO in alcohol were blue-shift in comparison with those of dyes in alcohol, and the emission waves of the PEVP-MY and PEVP-MO complexes in alcohol were red-shift in comparison with those of dyes in alcohol. The structure of the complexes in solid state were also investigated by differential thermal analysis (DTA) and X-ray diffraction experiments. It was proved that the complexes were new materials formed through weak interactions.