We present real-time observations by confocal microscopy of the dynamic behavior of multilamellar vesicles (MLVs), composed of charged synthetic lipids, when put in contact with oppositely charged polyelectrolyte (PE) molecules. We find that the MLVs exhibit astonishing morphological transitions, which result from the discrete and progressive binding of the charged bilayers induced by a high PE concentration gradient. Our physical picture is confirmed by quantitative measurements of the fluorescence intensity as the bilayers bind to each other. The shape transitions lead eventually to the spontaneous formation of hollow capsules, whose thick walls are composed of lipid multilayers condensed with PE molecules. This class of objects may have some (bio)technological applications.