We study the deformation of nonadhesive polyelectrolyte microcapsules under applied load using an atomic force microscope (AFM)-related force measuring device. Both "hollow" (water inside) and "filled" (water-polyanion solution inside) microcapsules are explored. The "filled" capsules were found to be much stiffer than "hollow" ones. The load-deformation profiles always included two regimes, characterized by different behavior. In the first regime, with a low applied load, capsule deformation is elastic and reversible. Above a certain load, capsules deform substantially and partly irreversibly. In this regime, the "hollow" capsules show variability in the reversibility, as well as in load -deformation profiles, which include different sectors (from substantial deformation at quasiconstant load to noisy regions). The "filled" capsules do not reveal such variability and become stiffer when the load is increased. After substantial deformation the "hollow" capsules enter a third region, in which major damage is caused by higher load. We show that the dramatic changes of the capsule's mechanical properties after filling with polyelectrolyte reflect a combined effect of excess osmotic pressure inside them, changes in the shell stiffness, and possibly a formation inside capsules of an electrostatically stabilized 3D net structure.