Self-healing materials are gradually being developed because they can restore structural properties and maintain their function after being damaged. Here, branched poly(ethyleneimine) (bPEI), poly(acrylic acid) (PAA), and microcapsules were used to fabricate a functional (bPEI/PAA)*30-microcapsule composite PEM film based on a layer-by-layer (LbL) self-assembly technique. As a proof of concept, the model molecules hydrophilic rhodamine B (RB) and hydrophobic roxithromycin (ROX) were loaded in (bPEI/PAA)*30-microcapsule composite PEM films, and tests with these self-healing films showed them to be endowed with the desired functional properties and hence showed the microcapsules to constitute a promising functional carrier candidate. The results indicated that the microcapsules can be assembled successfully on polyelectrolyte multilayer (PEM) films, and the as-prepared (bPEI/PAA)*30-microcapsule composite PEM film can not only be tailored with desired properties but also show an excellent self-healing ability. Based on our study, we expect more functional molecules to be grafted onto self-healing PEM films using microcapsules and expect functional self-healing PEM composite films to have great potential applications in the future.