The dependence of the surface‐enhanced Raman scattering (SERS) activity of small and large molecules on the number of polyelectrolyte monolayers covering the surface of gold nanocages (AuNCs) is investigated. The linkage of AuNCs to silica microparticles and the covering of its surface with additional polyelectrolyte layers are performed via layer‐by‐layer self‐assembly. Either three‐dimensional core–shell composite structures or hollow polyelectrolyte microspheres, obtained after the decomposition of solid templates, can be fabricated with coating thickness controlled with nanometer precision. Besides an obvious decrease of the signal intensity with increasing distance between plasmonic nanoparticle surface and Raman active molecules, there is a different signal dependence on the last layer charge for samples in water and air. The dependence of SERS signals on the number of layers also shows the difference for layers with and without thermal annealing, thus providing insight into changes in the structure of polyelectrolyte matrix. The obtained signal dependence is used to investigate the transport of low molecular weight analytes through polyelectrolyte layers and molecule interactions with polyelectrolyte chains, thus providing information about the internal layer structure that can not be obtained by direct measurements.