In steroid biotransformation, soybean oil can improve the productivity of steroids by increasing substrate solubility and strengthen the cell membrane permeability. However, little is known of its role as oxygen carrier and its mechanism of promoting the steroid biotransformation. In this work, soybean oil used as oxygen vector for the enhancement of androst-4-ene-3,17-dione (AD) production by Mycobacterium neoaurum TCCC 11979 (MNR) was investigated. Upon the addition of 16% (v/v) soybean oil, the volumetric oxygen transfer coefficient (K(L)a) value increased by 44%, and the peak molar yield of AD (55.76%) was achieved. Analysis of intracellular cofactor levels showed high NAD(+), ATP level, and a low NADH/NAD(+) ratio. Meanwhile, the two key enzymes of the tricarboxylic acid (TCA) cycle, namely, isocitrate dehydrogenase and alpha-ketoglutarate dehydrogenase, were upregulated after incubation with soybean oil. These enhancements induced by the increasing of oxygen supply showed positive effects on phytosterol (PS) bioconversion. Results could contribute to the understanding of effects of soybean oil as oxygen vector on steroid biotransformation and provided a convenient method for enhancing the efficiency of aerobic steroid biocatalysis.