Enzyme membrane reactors (EMRs) are becoming increasingly interesting for application in bioconversion processes in food processing, pharmaceutics, biorefinery and wastewater treatment. Integrating the highly efficient enzymatic reaction with selectable membrane separation technology, the EMRs are able to reduce product inhibition, improve the stability of the enzyme, increase the number of reaction cycles and sustainably separate products from biotransformation solutions. Generally, in EMRs, enzymes can be either free in the solution, immobilized on an additional carrier or immobilized directly in/on a porous structure of the membrane, of which the system with the enzyme immobilized directly in/on the membrane (EIM) is a relatively simple and most widely applied method. The EIM system not only facilitates recycling of the enzymes but also in many cases additionally enhances enzyme properties such as the stability and viability. A membrane with a porous structure is usually considered as a potential carrier for enzyme immobilization. A series of immobilization methods has been developed to fix the enzymes on the membranes. The purpose of this review is to systemically summarize the immobilization methods of enzymes in/on membranes and the applications of the EIM system for biocatalysis.