We report first experimental observations of dynamics of compound vesicles in linear flow realized in a microfluidic four-roll mill. We show that while a compound vesicle undergoes the same main tank-treading, trembling (TR), and tumbling regimes, its dynamics are far richer and more complex than that of unilamellar vesicles. A new swinging motion of the inner vesicle is found in TR in accord with simulations. The inner and outer vesicles can exist simultaneously in different dynamical regimes and can undergo either synchronized or unsynchronized motions depending on the filling factor. A compound vesicle can be used as a physical model to study white blood cell dynamics in flow similar to a unilamellar vesicle used successfully to model anucleate cells.