Here, lipase encapsulation is constructed by locking enzyme molecules in nanomolecular cages on the surface of SH-PEI@PVAC magnetic microspheres. To improve the encapsulation efficiency in enzyme loading, the thiol group is efficiently modified on the grafted polyethyleneimine (PEI) using 3-mercaptopropionic acid. N2 adsorption-desorption isotherms reveal the existence of mesoporous molecular cages on the microsphere surface. The robust immobilizing strength of carriers to lipase demonstrates the successful encapsulation of enzymes in nanomolecular cages. The encapsulated lipase shows high enzyme loading (52.9 mg/g) and high activity (51.4 U/mg). Different sizes of molecular cages are established, and the cage size showed important effects on lipase encapsulation. It shows that enzyme loading is low at a small size of molecular cages, which is attributed to that the nanomolecular cage is too small to house lipase. The investigation in lipase conformation suggests that the encapsulated lipase retains its active conformation. Compared with the adsorbed lipase, the encapsulated lipase shows higher thermal stability (4.9 times) and higher resistance to denaturants (5.0 times). Encouragingly, the encapsulated lipase shows high activity and reusability in lipase-catalyzed synthesis of propyl laurate, suggesting the potential application value of encapsulated lipase.