Multicompartment structures have the potential for biomedical applications because they can act as multifunctional systems and provide simultaneous delivery of drugs and diagnostics agents of different types. Moreover, some of them mimic biological cells to some extent with organelles as separate sub-compartments. This article analyses multicompartment colloidal structures with smaller sub-units covered with lipid or polymer membranes that provide additional protection for the encapsulated substances. Vesosomes with small vesicles encapsulated in the inner pools of larger liposomes are the most studied systems to date. Dendrimer molecules are enclosed by a lipid bilayer shell in dendrosomes. Capsosomes, polymersomes-in-polymer capsules, and cubosomes-in-polymer capsules are composed of sub-compartments encapsulated within closed multilayer polymer membranes. Janus or Cerberus emulsions contain droplets composed of two or three phases: immiscible oils in O/W emulsions and aqueous polymer or salt solutions that are separated into two or three phases and form connected droplets in W/O emulsions. In more cases, the external surface of engulfed droplets in Janus or Cerberus emulsions is covered with a lipid or polymer monolayer. eLiposomes with emulsion droplets encapsulated into a bilayer shell have been given little attention so far, but they have very great prospects. In addition to nanoemulsion droplets, solid lipid nanoparticles, nanostructured lipid carriers and inorganic nanoparticles can be loaded into eLiposomes. Molecular engineering of the external membrane allows the creation of ligand-targeted and stimuli-responsive multifunctional systems. As a result, the efficacy of drug delivery can be significantly enhanced.