Biodiesel is a mixture of fatty acid alkyl esters (FAAEs) mainly produced via transesterification reactions among triglycerides and short-chain alcohols catalyzed by chemical catalysts (e.g., KOH, NaOH). Lipase-assisted enzymatic transesterification has been proposed to overcome the drawbacks of chemical synthesis, such as high energy consumption, expensive separation of the catalyst from the reaction mixture and production of large amounts of wastewater during product separation and purification. However, one of the main drawbacks of this process is the enzyme cost. In recent years, nano-immobilized lipases have received extensive attention in the design of robust industrial biocatalysts for biodiesel production. To improve lipase catalytic efficiency, magnetic nanoparticles (MNPs) have attracted growing interest as versatile lipase carriers, owing to their unique properties, such as high surface-to-volume ratio and high enzyme loading capacity, low cost and inertness against chemical and microbial degradation, biocompatibility and eco-friendliness, standard synthetic methods for large-scale production and, most importantly, magnetic properties, which provide the possibility for the immobilized lipase to be easily separated at the end of the process by applying an external magnetic field. For the preparation of such effective magnetic nano-supports, various surface functionalization approaches have been developed to immobilize a broad range of industrially important lipases. Immobilization generally improves lipase chemical-thermal stability in a wide pH and temperature range and may also modify its catalytic performance. Additionally, different lipases can be co-immobilized onto the same nano-carrier, which is a highly effective strategy to enhance biodiesel yield, specifically for those feedstocks containing heterogeneous free fatty acids (FFAs). This review will present an update on the use of magnetic iron oxide nanostructures (MNPs) for lipase immobilization to catalyze transesterification reactions for biodiesel production. The following aspects will be covered: (1) common organic modifiers for magnetic nanoparticle support and (2) recent studies on modified MNPs-lipase catalysts for biodiesel production. Aspects concerning immobilization procedures and surface functionalization of the nano-supports will be highlighted. Additionally, the main features that characterize these nano-biocatalysts, such as enzymatic activity, reusability, resistance to heat and pH, will be discussed. Perspectives and key considerations for optimizing biodiesel production in terms of sustainability are also provided for future studies.