In the past decade, electrostatic layer-by-layer (LBL) self-assembly has gained attention because it is a facile and robust method to prepare thin polymer films. The low-cost technique is ideally suited to create chemically defined, reproducible, and smooth films with tailor-made properties. Due to the industrial importance and natural abundance of cellulose, its incorporation into LBL films has been widespread. Here we review research into multilayered composite materials containing cellulose and cellulose derivatives with favourable properties including high strength, flexibility, and biocompatibility. Preparation and characterization of polyelectrolyte multilayer films containing (1) cellulose derivatives, (2) cellulose nanocrystals, and (3) using cellulose fibers as substrates are presented. The applications and advantages of these films and their potential as model cellulose surfaces are discussed.