In this work, magnetic cross-linked enzyme aggregates (mCLEAs) of CALB (lipase B from Candida antarctica) were prepared and characterized. Moreover, a method for an easy, sustainable and economic extraction of lipids from nitrogen-starved cells of Chlorella vulgaris var L3 was developed. Then, the extracted lipids (oils and free fatty acids, FFAs) were converted to biodiesel using mCLEAs and chemical acid catalysis. Among several lipid extraction methods, saponification was selected given the amount of wet microalgal biomass it can process per unit of time, its low market value, and because it allows for the use of less toxic solvents. A biodiesel conversion of 80.2 ± 4.4% was obtained by chemical catalysis (1 h at 100°C) using FFAs and methanol as the alkyl donor. However, a biodiesel conversion of more than 90% (3 h at 30°C) was obtained using mCLEAs and methanol. Both chemical and enzymatic catalysts gave biodiesel with similar fatty acid alkyl ester (FAAE) composition. Methanol, at 15% (v/v) or higher concentration, caused a decrease of lipase activity and a concomitant increase in the size of mCLEA aggregates (up to 2 μm), as measured by dynamic light scattering (DLS). The magnetic character of the novel biocatalyst permits its easy recovery and reuse, for at least ten consecutive catalytic cycles (retaining 90% of the initial biodiesel conversion), using mild reaction conditions and environmentally-friendly solvents.