We describe a method to embed phospholipid vesicles into polyelectrolyte multilayers built up by the alternate deposition of polyanions and polycations. Before deposition, the vesicles are rigidified by polycation adsorption onto their surface avoiding their fusion once deposited on the multilayer surface. The vesicles adsorb to form a compact and "hard" monolayer as imaged by atomic force microscopy. The thickness of the adsorbed vesicle layer, of the order of 250 nm, is very close to the diameter of the vesicles in solution. This work should open the route to the buildup of multilayer films containing phospholipid vesicles that could act as "reservoirs" for drugs or enzymatic nanoreactors.