We construct shells with tunable morphology and mechanical response with colloidal particles that self-assemble at the interface of emulsion droplets. Particles self-assemble to minimize the total interfacial energy, spontaneously forming a particle layer that encapsulates the droplets. We stabilize these layers to form solid shells at the droplet interface by aggregating the particles, connecting the particles with adsorbed polymer, or fusing the particles. These techniques reproducibly yield shells with controllable properties such as elastic moduli and breaking forces. To enable diffusive exchange through the particle shells, we transfer them into solvents that are miscible with the encapsulant. We characterize the mechanical properties of the shells by measuring the response to deformation by calibrated microcantilevers.