The invention relates to a preparation method of a water-insoluble drug microcapsule. The water-insoluble drug microcapsule is a capsule with a multi-layer shell structure, and the wall of the water-insoluble drug microcapsule consists of a water-insoluble drug and a membrane layer formed by alternating deposition of a plurality of layers of polyelectrolyte with opposite charges. The preparation steps are as follows: 1), at first, preparing a soluble template microsphere with the surface thereof absorbed with a plurality of polyelectrolyte membranes; 2) then, removing the soluble template microsphere to prepare a hollow polyelectrolyte capsule; and 3), finally, loading the water-insoluble drug in the hollow polyelectrolyte capsule. The insoluble drug microcapsule prepared in the method has the advantages of uniform size, high drug solubility, controllable drug releasing rate and good dispersibility in various kinds of aqueous solution, and can also be connected with biologically active substances, such as antibodies, antigens, enzymes, proteins or nucleic acid, in order to achieve drug targeting.