Perfluorated hydrocarbons are widely used in the preparation of multifunctional capsules for medical and pharmaceutical applications. Their very low miscibility with organic solvents, however, represents a significant challenge for preparing stabilised droplets without using surfactants or other additives which have a deleterious effect upon capsule uniformity. The aims of this investigation were: firstly, to determine whether perfluorohexane (PFH) could be successfully encapsulated in a polymer, polymethylsilsesquioxane (PMSQ) in the absence of processing additives by using coaxial electrohydrodynamic atomisation (CEHDA); secondly, to assess the feasibility of controlling the content of the capsules by heating the suspension to the boiling point of the perfluorocarbon in order to achieve partial or total exchange of the encapsulated liquid. Both aims were successfully achieved. PFH-filled capsules were obtained via CEHDA with a mean diameter of ∼200 nm and a polydispersity index of ∼30%. It was also found that capsules with a mean diameter of 37 nm and a polydispersity index of 23% could be obtained by altering the processing parameters, indicating this method is suitable for the preparation of both micro- and nanoscale capsules. The thickness of the polymeric coating was found to scale with the capsule outer diameter by a factor of ∼10. Encapsulation of a dye (Evans blue) was achieved by heating the capsules in the dye solution to vaporise the PFH core and enable inwards diffusion of the liquid. The rate of subsequent release of the dye was also measured via colorimetry. This method may be useful in the preparation of multicomponent and multifunctional micro- and nanoparticles.