Controlling the assembly of colloids at liquid-liquid interfaces offers new ways to fabricate soft materials with specific physical properties. However, little is known of the relationships between the kinetics of interfacial assembly, structural and rheological properties of such interfaces. We studied the kinetics of the assembly of two oppositely charged polyelectrolytes using a multi-scale approach. Soft interfaces were formed from the complexation at water-oil interface of chitosan, a polysaccharide carrying positively charged groups, and a fatty acid exhibiting negative charges. The growth kinetics of the membrane was followed by interfacial rheometry and space- and time- resolved dynamic light scattering. This set of techniques revealed that the interfacial complexation was a multi-step process. At short time-scale, the interface was fluid and made of heterogeneous patches. At a gelation time, the surface elastic modulus and the correlation between speckles increased sharply meaning that the patches percolated. Confocal and electron microscopy confirmed this picture, and revealed that the basic brick of the membrane was sub-micrometric aggregates of polyelectrolytes.