High efficient loading and controlled release of low-molecular-weight drugs were achieved facilely by heat-shrinkage of polyelectrolyte multilayer capsules with a spontaneous deposition property. The capsules consisting of 5 bilayers of poly(diallyldimethylammonium chloride) and poly(styrene sulfonate) (PSS) were assembled on PSS-doped CaCO₃ particles. After core removal, a part of PSS molecules were entrapped, which imparted the capsules with a strong ability to accumulate the positively charged drugs (the so called “spontaneous deposition” property). These capsules also showed temperature-dependent shrinkage, which became prominent above 50 °C, accompanying thickening of the capsule walls. After measuring the encapsulated free PSS and calculation of the net charge ratio in the capsule wall, the shrinkage mechanism was discussed. Using these features, doxorubicin hydrochloride was effectively loaded and its release profile was controlled by the incubation temperature. No detectable cytotoxicity was found for both the original and heat-treated capsules.