Mechanical properties of polyelectrolyte multilayer capsules were studied using a new method combining atomic-force microscopy and reflection interference contrast microscopy. By measuring the force vs. deformation for poly(styrene sulfonate)/poly(allylamine) capsules the existence of different deformation regimes depending on the applied deformation was shown, The present paper focuses on the small-deformation regime. The elastic response of the deformed capsule was studied as a function of the wall thickness and the capsule size, and showed the theoretically expected variations. The Young modulus obtained from the experiments ranges between 1.3 and 1.9 GPa.