The alternate deposition of polyanions and polycations on a solid substrate leads to the formation of nanometer to micrometer films called Polyelectrolyte Multilayers. This step-by-step construction of organic films constitutes a method of choice to functionalize surfaces with applications ranging from optical to bioactive coatings. The method was originally developed by dipping the substrate in the different polyelectrolyte solutions. Recent advances show that spraying the polyelectrolyte solutions onto the substrate represents an appealing alternative to dipping because it is much faster and easier to adapt at an industrial level. Multilayer deposition by spraying is thus greatly gaining in interest. Here we review the current literature on this deposition method. After a brief history of polyelectrolyte multilayers to place the spraying method in its context, we review the fundamental issues that have been addresses so far. We then give an overview the different fields where the method has been applied.