Metal–organic frameworks (MOFs) are regarded as excellent carriers for immobilized enzymes due to their substantial specific surface area, high porosity, and easily tunable pore size. Nevertheless, the use of UIO−66 material is significantly limited in immobilized enzymes due to the absence of active functional groups on its surface. This study comprised the synthesis of UIO−66 and subsequent modification of the proline (Pro) on UIO−66 through post-synthetic modification. UIO−66 and UIO−66/Pro crystals were employed as matrices to immobilize Rhizopus oryzae lipase (ROL). The contact angle demonstrated that the introduction of Pro onto UIO−66 resulted in favorable conformational changes in the structure of ROL. The immobilized enzyme ROL@UIO−66/Pro, produced via the covalent-bonding method, exhibited greater activity (0.064715 U/mg (about 1.73 times that of the free enzyme)) and stability in the ester hydrolysis reaction. The immobilized enzymes ROL@UIO−66 (131.193 mM) and ROL@UIO−66/Pro (121.367 mM), which were synthesized using the covalent-bonding approach, exhibited a lower Km and higher substrate affinity compared to the immobilized enzyme ROL@UIO−66/Pro (24.033 mM) produced via the adsorption method. This lays a solid foundation for the industrialization of immobilized enzymes.