Enzymatic conversion of pharmaceutically active ingredients (API), using immobilized enzymes should be considered as a promising industrial tool due to improved reusability and stability of the biocatalysts at harsh process conditions. Therefore, in this study horseradish peroxidase was immobilized into sodium alginate capsules and then trapped into poly(vinyl chloride) electrospun fibers to provide additional enzyme stabilization and protection against the negative effect of harsh process conditions. Due to encapsulation immobilization, 100% of immobilization yield was achieved leading to loading of 25 μg of enzyme in 1 mg of the support. Immobilized in such a way, enzyme showed over 80% activity retention. Further, only slight changes in kinetic parameters of free (Km = 1.54 mM) and immobilized horseradish peroxidase (Km = 1.83 mM) were noticed, indicating retention of high catalytic properties and high substrate affinity by encapsulated biocatalyst. Encapsulated horseradish peroxidase was tested in biodegradation of two frequently occurring in wastewater API, sulfamethoxazole (antibiotic) and carbamazepine (anticonvulsant). Over 80% of both pharmaceutics was removed by immobilized enzyme after 24 h of the process from the solution at a concentration of 1 mg/L, under optimal conditions, which were found to be pH 7, temperature 25 °C and 2 mM of H2O2. However, even from 10 mg/L solutions, it was possible to remove over 40% of both pharmaceuticals. Finally, the reusability and storage stability study of immobilized horseradish peroxidase showed retention of over 60% of initial activity after 20 days of storage at 4 °C and after 10 repeated catalytic cycles, indicating great practical application potential. By contrast, the free enzyme showed less than 20% of its initial activity after 20 days of storage and exhibited no recycling potential.