A way to realize the stable entrapment of small molecules bearing sulfonate groups in the multilayer assemblies was reported. First, the sulfonate-containing small molecules were alternately assembled with photoreactive polycation diazo resins (DAR) to form electrostatically held multilayer films. Then these films were exposed under UV irradiation to form covalently attached ones due to the in situ photoreaction between diazonium and sulfonate goups. In this way, the stability of the small molecules in the multilayer was improved to some extent. When these film assemblies were covered with additional layers of photoactive diazo resins/poly(4-styrene sulfonate) films, the stability of the films could be improved further. By making full use of the incompleteness of the reaction between DAR and small molecules, good permeability of the film could be realized, which guarantees these kinds of films in finding potential application in chemically modified electrodes in which films with both stability and permeability are required. These kinds of films were characterized in detail by UV-vis spectroscopy, cyclic voltammetry, X-ray diffraction measurements, and solvent etching experiments.