Particles with directional interactions are promising building blocks for new functional materials and may serve as models for biological structures. Mutually attractive nanoparticles that are deformable due to flexible surface groups, for example, may spontaneously order themselves into strings, sheets and large vesicles. Furthermore, anisotropic colloids with attractive patches can self-assemble into open lattices and colloidal equivalents of molecules and micelles. However, model systems that combine mutual attraction, anisotropy, and deformability have---to the best of our knowledge---not been realized. Here, we synthesize colloidal particles that combine these three characteristics and obtain self-assembled microcapsules. We propose that mutual attraction and deformability induce directional interactions via colloidal bond hybridization. Our particles contain both mutually attractive and repulsive surface groups that are flexible. Analogous to the simplest chemical bond, where two isotropic orbitals hybridize into the molecular orbital of H2, these flexible groups redistribute upon binding. Via colloidal bond hybridization, isotropic spheres self-assemble into planar monolayers, while anisotropic snowman-like particles self-assemble into hollow monolayer microcapsules. A modest change of the building blocks thus results in a significant leap in the complexity of the self-assembled structures. In other words, these relatively simple building blocks self-assemble into dramatically more complex structures than similar particles that are isotropic or non-deformable.