The use of edible oils and fats in dairy products is becoming increasingly important in the food industry because of their complementary functional properties. Most of these products are produced using food-grade enzymes as processing aids because processes involving enzymes are considered mild and environmentally friendly for regulatory purposes. The poor stability and recovery of enzymes in their native state limit their performance, and to enhance their activity, stability, and reusability, enzymes are often immobilised—a process that involves attaching them to a solid support. Additionally, immobilisation enables enzymes to selectively target specific substrates or products, making them highly efficient. These features have led to the increased use of immobilised enzymes in dairy and lipid processing and enzymes have been used to produce a broad range of products such as whey protein concentrates and isolates, peptide–lipid conjugates, lipid concentrates, structured lipids, and human milk fat substitutes. Therefore, this article reviews the current progress on different enzyme preparations and their use in lipid and dairy processing. It also summarises opportunities in enzyme-catalysed valorisation of dairy and lipid waste streams with the ultimate goals of sustainable food production and reductions in waste.