We report a microfluidic approach for one‐step fabrication of polyelectrolyte microcapsules in aqueous conditions. Using two immiscible aqueous polymer solutions, we generate transient water‐in‐water‐in‐water double emulsion droplets and use them as templates to fabricate polyelectrolyte microcapsules. The capsule shell is formed by the complexation of oppositely charged polyelectrolytes at the immiscible interface. We find that attractive electrostatic interactions can significantly prolong the release of charged molecules. Moreover, we demonstrate the application of these microcapsules in encapsulation and release of proteins without impairing their biological activities. Our platform should benefit a wide range of applications that require encapsulation and sustained release of molecules in aqueous environments.