The polyoxometalate (POM) chemistry world has been experiencing an unparalleled development of rapid synthesis of new compounds and slow development of POM-based functional materials and devices. Meanwhile, researchers in the microcapsule world, encouraged by the introduction of the layer-by-layer method, are pursuing good components for constructing functional capsule devices. Here, in view of the versatile properties that POM-based microcapsules may possess, various types of POM-polyelectrolyte composite microcapsules were constructed using the layer-by-layer method. Microscopy reveals that polyoxometalates form nanoparticles on the shell in the presence of cationic polyelectrolytes. These nanoparticles connected with polyelectrolytes constitute the shell and support the microcapsule from collapse after drying, and this is an interesting characteristic different from those of common composite and polyelectrolyte capsules. Fourier transform infrared (FTIR), UV-vis absorption, and X-ray photoelectron spectroscopy (XPS) were used to examine the properties of the POMs in the microcapsules. The obtained microcapsules exhibit higher thermal stability than polyelectrolyte microcapsules. Furthermore, the functions of POMs were maintained when they were assembled into microcapsules. It is proved that microcapsules bearing POMs with redox activity can provide a reduction environment, which can lead to the realization of in situ synthesis of materials, and that microcapsules with photoluminescent POMs as a component can also have a photoluminescent property, providing a way to develop functional capsule devices. This work may provide an opportunity to enrich both the polyoxometalate chemistry and the capsule field.