Horseradish peroxidase (HRP) enzyme was effectively encapsulated onto an Fe3O4 nanoparticle–polymethyl methacrylate (PMMA) film via the casting method. The HRP was immobilized on the 0.5% Fe3O4Np–PMMA film and characterized by Fourier transform infrared spectroscopy and field emission scanning electron microscopy. Moreover, the reusability, thermal stability, optimum pH, optimum temperature, the influence of metal ions, and the effects of detergent and organic solvent were investigated. After optimizing the immobilization conditions, the highest efficiency of the immobilized enzyme was 88.4% using 0.5% Fe3O4Np–PMMA. The reusability of the immobilized HRP activity was 78.5% of its initial activity after being repeatedly used for 10 cycles. When comparing the free and immobilized forms of the HRP enzyme, changes in the optimum temperature and optimum pH from 30 to 40 °C and 7.0 to 7.5, respectively, were observed. The Km and Vmax for the immobilized HRP were estimated to be 41 mM, 0.89 U/mL for guaiacol and 5.84 mM, 0.66 U/mL for H2O2, respectively. The high stability of the immobilized HRP enzyme was obtained using metal ions, a high urea concentration, isopropanol, and Triton X-100. In conclusion, the applicability of immobilized HRP involves the removal of phenol in the presence of hydrogen peroxide, therefore, it could be a potential catalyst for the removal of wastewater aromatic pollutants.