In recent years, an increasing number of microcapsule systems have been realized and have found applications in various fields of research and technology. Amongst others, polyelectrolyte multilayer capsules (PMCs) offer a great variety of materials and superior control over the wall thicknesses. We present here a review on the different techniques that are available for characterizing the mechanical properties of PMCs. We compare results that were obtained using these techniques on the same system, namely PMCs made from polyallylamine and polystyrenesulfonate multilayers and discuss perspectives of the field.