The functionalization of microrobots is essential for realizing their biomedical application in targeted cargo delivery, but the multifunctional integration of microrobots and controllable cargo delivery remains an enormous challenge at present. This work reports a kind of multi-functionalized micro-helical robot with superior loading capabilities for the controlled release of encapsulants. The magnetic microrobot, with a multilayer capsule helical structure, was developed via multifunctional strategies, including microfluidic synthesis, polyelectrolyte complexation, and surface coating with magnetic nanoparticles. The microrobot is constructed of a helical structure from a calcium alginate microfiber via a co-axial capillary microfluidic system. Then, it is coated with a polyelectrolyte complexation membrane and decorated with magnetic nanoparticles. After multi-step layer-by-layer (LbL) assembly with functionalized units, the structure is converted to a helical capsule possessing a soft and biocompatible polysaccharide alginate/chitosan/alginate shell with Fe3O4 nanoparticles decorated on the surface. The functionalized microrobot not only enables wireless steering with rotational locomotion under the control of a six degrees of freedoms (6-DOFs) electromagnetic system at different frequencies, but it also possesses stimuli-responsive abilities owing to the semi-permeable membrane, which can trigger the controllable release of encapsulants in response to ions in the environment. This work provides an efficient strategy for the superior multi-functionalization of microrobots to achieve enhanced locomotion and encapsulation performance for the loading, transport, and targeted delivery of cargo.