In this work, magnetic Fe3O4 nanoparticles treated with (3-aminopropyl)triethoxysilane were used as immobilization material. Lipase was covalently bound to the amino-functionalized magnetic nanoparticles by using glutaraldehyde as a coupling reagent with the activity recovery up to 70% and the enzyme binding efficiency of 84%. The binding of lipase to the magnetic particles was confirmed by enzyme assays, transmission electron microscopy, X-ray powder diffraction, and Fourier transform infrared spectra. Moreover, the immobilized lipase was found to be able to catalyze the transesterification of soybean oil with methanol to produce fatty acid methyl esters (better known as biodiesel). Besides, it was determined that the conversion of soybean oil to biodiesel fuels reached over 90% by the three-step addition of methanol when 60% immobilized lipase was employed. Further study showed that the immobilized lipase could be used four times without significant decrease of activity.