Four polyelectrolyte complexes were formed through self-assembly of poly-N-ethyl-N,N-(dimethylamino)ethyl methacrylate (PEDEM) and poly-N-ethyl-4-vinylpyridinium (PEVP) cations with methyl orange (MO) and metanil yellow (MY) anions in water. The FTIR spectra showed that the assembly was formed chiefly through electrostatic force and hydrophobic interaction between polyelectrolytes and organic dyes without new bonds emerging. The fluorescence spectra revealed that the emission waves of the complexes of PEDEM-MY and PEDEM-MO in alcohol were blue-shifted in comparison with that of dyes in alcohol, and the emission waves of the PEVP-MY and PEVP-MO complexes in alcohol were red-shifted in comparison with that of dyes in alcohol. The structure of the complexes in the solid state were also investigated by DTA and X-ray diffraction experiments. It could be proved that the complexes were new materials formed through weak interactions.