Rhizopus oryzae lipase (ROL) is known to present high selectivity in chemical reactions. However, the poor stability of ROL effectively limits its industrial applications. In this study, several immobilization protocols, such as hydrophobic adsorption, covalent immobilization, multi‐point covalent attachment, ionic adsorption/cross‐linking, and ionic interaction, were applied to improve the stability of ROL. Heterogeneous modification of aspartic and glutamic acid residues on the surface of ROL was carried out by 1‐ethyl‐3‐(3‐dimethylaminopropyl) carbodiimide (EDC) to introduce new amine groups with lower pKb. The highest immobilization yield of 89% was achieved for octyl‐agarose, producing specific activity of 45 U/mg, which is 15 folds higher than the specific activity of the soluble enzyme. Improved stability of ROL was observed, in particular for those derivatives obtained by multi‐point covalent attachment of ROL on glyoxyl‐agarose (Gx‐ROL) and aminated ROL on glyoxyl‐agarose (Gx‐NH2‐ROL) by retaining 28%–36% of their initial activities after 24 h incubation at 60°C. Immobilization also altered the co‐solvent stability profile of the immobilized derivatives producing biocatalysts with varied co‐solvent stabilities. Furthermore, utilization of the immobilized preparations in fish oil hydrolysis revealed the selective release of cis‐5,8,11,14,17‐eicosapentaenoic acid (EPA) and cis‐4,7,10,13,16,19‐docosahexaenoic acid (DHA) in favor of EPA. The highest EPA/DHA selectivity of 33 was observed for the hydrophobically immobilized ROL on octyl‐sepharose.