Submicrometer-sized capsules made of Si nanoparticles wrapped by crumpled graphene shells were made by a rapid, one-step capillary-driven assembly route in aerosol droplets. Aqueous dispersion of micrometer-sized graphene oxide (GO) sheets and Si nanoparticles were nebulized to form aerosol droplets, which were passed through a preheated tube furnace. Evaporation-induced capillary force wrapped graphene (a.k.a., reduced GO) sheets around the Si particles, and heavily crumpled the shell. The folds and wrinkles in the crumpled graphene coating can accommodate the volume expansion of Si upon lithiation without fracture, and thus help to protect Si nanoparticles from excessive deposition of the insulating solid electrolyte interphase. Compared to the native Si particles, the composite capsules have greatly improved performance as Li ion battery anodes in terms of capacity, cycling stability, and Coulombic efficiency.