As one of the most effective synthesis tools, layer-by-layer (LbL) self-assembly technology can provide a strong non-covalent integration and accurate assembly between homo- or hetero-phase compounds or oppositely charged polyelectrolytes, resulting in highly-ordered nanoscale structures or patterns with excellent functionalities and activities. It has been widely used in the developments of novel materials and nanostructures or patterns from nanotechnologies to medical fields. However, the application of LbL self-assembly in the development of highly efficient electrocatalysts, specific functionalized membranes for proton exchange membrane fuel cells (PEMFCs) and electrode materials for supercapacitors is a relatively new phenomenon. In this review, the application of LbL self-assembly in the development and synthesis of key materials of PEMFCs including polyelectrolyte multilayered proton-exchange membranes, methanol-blocking Nafion membranes, highly uniform and efficient Pt-based electrocatalysts, self-assembled polyelectrolyte functionalized carbon nanotubes (CNTs) and graphenes will be reviewed. The application of LbL self-assembly for the development of multilayer nanostructured materials for use in electrochemical supercapacitors will also be reviewed and discussed (250 references).