The field of enzyme cascades in limited microscale or nanoscale environments has undergone a quick growth and attracted increasing interests in the field of rapid development of systems chemistry. In this study, alcohol dehydrogenase (ADH), lactate dehydrogenase (LDH), and mesoporous silica nanoparticles (MSN) immobilized nicotinamide adenine dinucleotide (NAD+) were successfully immobilized on the zeolitic imidazolate frameworks (ZIFs). This immobilized product was named ZIF@ADH/NAD-MSN/LDH, and the effect of the multi-enzyme cascade was studied by measuring the catalytic synthesis of lactic acid. The loading efficiency of the enzyme in the in-situ co-immobilization method reached 92.65%. The synthesis rate of lactic acid was increased to 70.10%, which was about 2.82 times that of the free enzyme under the optimal conditions (40 °C, pH = 8). Additionally, ZIF@ADH/NAD-MSN/LDH had experimental stability (71.67% relative activity after four experiments) and storage stability (93.45% relative activity after three weeks of storage at 4 °C; 76.89% relative activity after incubation in acetonitrile-aqueous solution for 1 h; 27.42% relative activity after incubation in 15% N, N-Dimethylformamide (DMF) solution for 1 h). In summary, in this paper, the cyclic regeneration of coenzymes was achieved, and the reaction efficiency of the multi-enzyme biocatalytic cascade was improved due to the reduction of substrate diffusion.