Hollow polyelectrolyte microcapsules containing diazoresins (DZR) were fabricated by the layer-by-layer self-assembly of a polycation, DZR, in alternation with poly(styrenesulfonate) (PSS) onto polystyrene (PS) particles, followed by dissolution of the PS core by tetrahydrofuran (THF). The multilayer film buildup on the colloids was observed by UV-visible spectroscopy, single particle light scattering (SPLS), and transmission electron microscopy (TEM). The data confirmed regular and stepwise layer formation of DZR and PSS on the colloid particles, with a thickness of about 10 nm for each DZR/PSS bilayer when exposed to aqueous solution, and approximately 5 nm in the “dry state”. The photosensitive nature of the DZR layers was exploited to construct highly stable, covalently attached (polymerized) films by exposure of the ionic self-assembled DZR/PSS multilayer films to UV-irradiation. TEM and atomic force microscopy (AFM) confirmed the formation of hollow DZR/PSS multilayer capsules. Osmotic pressure experiments followed by confocal laser scanning microscopy revealed a high mechanical stability of the hollow DZR/PSS capsules. The mechanically robust polymerized multilayer films on the colloids and as free-standing three-dimensional hollow capsules are more stable in various chemical environments (i.e., resistant to etching by solvents) than their ionically linked counterparts.