The preparation of microcapsules composed by natural materials have received great attention, as they represent promising systems for the fabrication of micro-containers for controlled loading and release of active compounds, and for other applications. Using polysaccharides as the main materials is receiving increasing interest, as they constitute the main components of the plant cell wall, which represent an ideal platform to mimic for creating biocompatible systems with specific responsive properties. Several researchers have recently described methods for the preparation of microcapsules with various sizes and properties using cell wall polysaccharide nanomaterials. Researchers have focused mostly in using cellulose nanomaterials as structural components in a bio-mimetic approach, as cellulose constitutes the main structural component of the plant cell wall. In this review, we describe the microcapsules systems presented in the literature, focusing on the works where polysaccharide nanomaterials were used as the main structural components. We present the methods and the principles behind the preparation of these systems, and the interactions involved in stabilizing the structures. We show the specific and stimuli-responsive properties of the reported microcapsules, and we describe how these characteristics can be exploited for specific applications.