Capsules with thin shells have a high‐loading capacity and are thus well‐suited containers for reagents that must be stored in confined volumes. Capsules contained in larger capsules, so‐called double capsules, allow the encapsulation of distinct reagents within small, defined, well‐separated volumes. Therefore, they offer possibilities to initiate reactions in confined volumes and to release distinct bioactives sequentially while minimizing the risk for cross contaminations. In this study, a new microfluidic capillary device is presented that enables the assembly of water‐oil‐water‐oil‐water (W/O/W/O/W) quadruple‐emulsion drops whose oil layers are ultra thin. These quadruple emulsions can be converted into double capsules with thin membranes through either evaporation‐induced consolidation of biodegradable polymers or photopolymerization of monomers. It is demonstrated that the membrane composition of the inner and outer capsules can be independently selected to enable programed release of distinct encapsulants. For example, biodegradable polymers with two different degradation rates are employed as the membrane materials that enable sequential release of two different encapsulants. In addition, the release of the encapsulants can be triggered by external stimuli such as osmotic pressure. This new class of double capsules provides new opportunities for drug delivery and screening assays that require sequential release of multiple water‐soluble ingredients.