We investigated the thermodynamical properties of water exchanged in poly(L-glutamic acid)/poly(allylamine)hydrochloride (PGA/PAH) polyelectrolyte multilayers containing ferrocyanide. Oxidation/reduction of the ferrocyanide in the multilayer caused a reversible swelling/contraction of the film due to the uptake/release of counter ions and water. We used electrochemical quartz crystal microbalance and electrochemical microcalorimetry to correlate the amount of water with the accompanying entropy changes during electrochemical swelling of the multilayer for a series of different anions at different concentrations. The number of exchanged water molecules was highly dependent on the ionic strength and the type of anion in the buffer solution. However, the entropy change per exchanged water molecule was found to be independent of these two parameters. The water molecules in the polyelectrolyte multilayer have reduced the entropy compared to that of bulk water (≈−1 J mol−1 K−1). A comparison of hydration entropies for free polyelectrolytes and PGA/PAH multilayers suggests that such systems are mainly stabilized by water release during multilayer construction.