Surface display is effectively utilized to construct a whole-cell biocatalyst. Codon optimization has been proven to be effective in maximizing production of heterologous proteins in yeast. Here, the cDNA sequence of Rhizopus oryzae lipase (ROL) was optimized and synthesized according to the codon bias of Saccharomyces cerevisiae, and based on the Saccharomyces cerevisiae cell surface display system with α-agglutinin as an anchor, recombinant yeast displaying fully codon-optimized ROL with high activity was successfully constructed. Compared with the wild-type ROL-displaying yeast, the activity of the codon-optimized ROL yeast whole-cell biocatalyst (25 U/g dried cells) was 12.8-fold higher in a hydrolysis reaction using p-nitrophenyl palmitate (pNPP) as the substrate. To our knowledge, this was the first attempt to combine the techniques of yeast surface display and codon optimization for whole-cell biocatalyst construction. Consequently, the yeast whole-cell ROL biocatalyst was constructed with high activity. The optimum pH and temperature for the yeast whole-cell ROL biocatalyst were pH 7.0 and 40 °C. Furthermore, this whole-cell biocatalyst was applied to the hydrolysis of tributyrin and the resulted conversion of butyric acid reached 96.91% after 144 h.