We report on the loading and release behaviors of polyelectrolyte multilayers based on hydrophobically modified carboxymethylpullulan (CMP) derivatives and poly(ethyleneimine) (PEI) toward hydrophobic dye. The dye-loaded films are obtained according to two different protocols: (i) the postdiffusion approach, which involves the diffusion of the dye within preassembled self-assemblies, and (ii) the precomplexation method. which requires the formation of a water-soluble amphiphilic CMP derivative-dye complex before the multilayer buildup. In both cases, we provide clear evidence for the entrapment of the dye in hydrophobic nanoreservoirs resulting from the aggregation of decyl pendent groups grafted on CMP chains. We show that the loading capacity of the multilayers, as well as their release behavior, can be tuned by varying the grafting degree of CMP chains. Moreover, we demonstrate the possibility to trigger the subsequent release of the loaded dye molecules by varying the composition of the surrounding solution.