We show that polymer capsules can serve as soft building blocks for creating a range of mesoscale (0.1 to 10 mm) structures. The central innovation is a new approach for connecting spherical capsules by exploiting electrostatic complexation. Using this approach, connected structures with complex shapes can be easily assembled, and more importantly, a single connected structure can be made to have a diverse array of functions. The modular approach to shape and function is very much like using Lego bricks of different colors. The connected structures can be made responsive (capable of being actuated) by magnetic fields by including magnetic capsules within them. One motivation for creating these structures is to mimic the mechanics and motility of small creatures such as the earthworm or ant - this could eventually enable the design of autonomous biomimetic robots. In addition, soft connected structures could be employed to transport cargo such as drugs or proteins in blood vessels, or to construct valves, rotors, or mixers in microfluidic or lab-on-a-chip devices.