There are several requirements for the safe and effective delivery of therapeutic agents for human use. Direct injection of drugs may cause side effects due to their permeation to other, undiseased regions of the body so that concealment and targeting with appropriate materials is a critical consideration in the design of practical drug delivery systems. In particular, carriers with structures which can be flexibly controlled are more useful since functional structure units can be assembled in component-by-component and/or layer-by-layer fashion. In this review, we focus on preparation of layer-by-layer shells directed at drug delivery applications. After a description of the fundamentals of layer-by-layer (LbL) assembly, recent progress in the field of self-assembled microshells and nanoshells for drug delivery applications are summarized. In addition, concepts developed to solve current difficulties are also described. Encapsulation of insoluble drugs in nanoshells and their delivery can satisfy some of the demands of practical medical use. Thus, aqueous suspensions of insoluble drugs have been subjected to powerful ultrasonic treatment followed by sequential addition of polycations and polyanions to the particle solution leading to assembly of ultra-thin polyelectrolyte shells on the nano-sized drug particles. In another innovative example, stepwise release of drugs from LbL films of mesoporous capsules to the exterior in the absence of external stimuli was demonstrated. It can be regarded as stimuli-free auto-modulated material release.