Affinity partitioning refers to the preferential dissolution of solute molecules in a particular liquid phase of an immiscible liquid-liquid mixture, such as an aqueous two-phase system (ATPS). Affinity partitioning in ATPS is widely used to achieve extraction and purification of biomolecules. However, the potential of applying it to direct the self-assembly of solutes into controlled structures has been largely overlooked. Here we introduce the affinity partitioning of polyelectrolytes in ATPS to induce their self-assembly into polyelectrolyte microcapsules. The approach is purely based on the preferential solubility of different polyelectrolytes in different aqueous phases; therefore it has wide applicability and exhibits excellent compatibility with bioactives. The release of encapsulated components can be triggered by changing the pH value or ionic strength of the surrounding environment. The proposed method represents an important advance in fabricating multifunctional materials and inspires new ways to engineer sophisticated structures with hydrophilic macromolecules.