This study is dedicated to efficiently produce Rhizopus oryzae lipase (ROL) by optimizing the expression of multiple expression-related helper proteins in Pichia pastoris. A series of engineered strains harboring different copy numbers of the ROL gene and different copies of the chaperone Pdi gene were first constructed to examine the influence of Pdi gene copy number on ROL production. The results showed that multiple copies of Pdi gene did not significantly improve ROL expression. Then, the effect of the co-overexpression of 10 expression-related helper proteins on ROL secretion was investigated by screening 20 colonies of each transformants. The data from shaking-flask fermentation suggested that Ssa4, Bmh2, Sso2, Pdi, Bip, Hac1, and VHb had positive effects on ROL expression. Subsequently, Ssa4, Bmh2, and Sso2, which all participate in vesicular trafficking and strongly promote ROL expression, were combined to further improve ROL production level. ROL activity of the screened strain GS115/5ROL-Ssa4-Sso2-Bmh2 4# attained 5230 U/mL. Furthermore, when the helper proteins Pdi, Bip, Hac1, and VHb were individually co-expressed with ROL in the strain GS115/5ROL-Ssa4-Sso2-Bmh2 4#, lipase activity increased to 5650 U/mL in the strain GS115/5ROL-Ssa4-Sso2-Bmh2-VHb 9#. Additionally, the maximum ROL activity of 41,700 U/mL was achieved in a 3 L bioreactor for high-density fermentation via a sorbitol–methanol co-feeding strategy, reaching almost twofold the value of the initial strain GS115/pAOα-5ROL 11#. Thus, the strategies in this study significantly increased ROL expression level, which is of great potential for the large-scale production of ROL in P. pastoris.