In this research, core–shell structured Fe3O4@MIL-100(Fe) composites were prepared by coating Fe3O4 magnetite with porous MIL-100(Fe) metal-organic framework (MOF) material, which were then utilized as magnetic supports for the covalent immobilization of the lipase from Candida rugosa through amide linkages. By using the carbodiimide/hydroxysulfosuccinimide (EDC/NHS) activation strategy, the lipase immobilization efficiency could reach 83.1%, with an activity recovery of 63.5%. The magnetic Fe3O4@MIL-100(Fe) composite and immobilized lipase were characterized by several techniques. The characterization results showed that the Fe3O4 core was coated with MIL-100(Fe) shell with the formation of perfect core–shell structured composites, and moreover, the lipase was covalently tethered on the magnetic carrier. The immobilized lipase displayed a strong magnetic response and could be facilely separated by an external magnetic field. With this magnetic biocatalyst, the maximum biodiesel conversion attained 92.3% at a methanol/oil molar ratio of 4:1, with a three-step methanol addition manner, and a reaction temperature of 40 °C. Moreover, the biocatalyst prepared in the present study was recycled easily by magnetic separation without significant mass loss, and displayed 83.6% of its initial activity as it was reused for five runs, thus allowing its potential application for the cleaner production of biodiesel.