We present the first demonstration of the direct encapsulation of cargo into polyelectrolyte complex (PEC) fiber mats. This approach takes advantage of the intrinsic self-assembly characteristics of complex coacervates to simplify the formulation requirements to electrospin fibers containing a high loading and an even distribution of cargo. Two families of structurally similar fluorescent dyes were used as model cargo of varying hydrophobicity and charge and were encapsulated into coacervates of poly(4-styrenesulfonic acid, sodium salt) and poly(diallyldimethylammonium chloride). The coacervate phase behavior, dye partitioning, and resulting fibers were systematically investigated as a function of dye and salt concentration. Strong partitioning was facilitated by favorable electrostatic and pi-pi interactions but was adversely affected by increased salt. We further identified that dye and salt interactions can be treated as independent control parameters to modulate the properties and electrospinnability of the coacervate precursor solutions. These findings facilitate the use of electrospun PEC fibers in applications related to biomedicine, energy, and separations where cargo-loaded mats are needed.