We have introduced 1,11-undecanedicarboxylic acid as a new cross-linker to prepare cross-linked preparation of Rhizomucor miehei lipase (RML) from its soluble form by applying an isocyanide-based multi-component reaction. This one-step cross-linking of soluble enzyme allowed skipping the prior step of enzyme aggregation or crystallization which is inevitable in the traditional methods of cross-linking. High immobilization yields were achieved up to 92% in an extremely mild condition. The addition of bovine serum albumin (BSA) as a feeder protein affected the final properties of RML by producing 2.5-fold higher specific activity compared to the specific activity of free RML. Furthermore, dynamic light scattering analysis (DLS) showed that by applying BSA, the cross-linked enzymes (CLEs) particle sizes of 1.75–3.91 µm were obtained. Considerable improvement in the thermal and co-solvent stability was observed, in particular for the derivative obtained by immobilization in the presence of BSA. This derivative remained considerably active at 60 °C by keeping 79% of its initial activity after 2 h of incubation and retained 75% and 86% of its activity after 24 h incubation in the presence of 20% of methanol and ethanol, respectively. The cross-linked preparations were then applied for the selective hydrolysis of the essential omega-3 fatty acids, including eicosapentaenoic acid (EPA) and docosahexaenoic acid (DHA), from fish oil. The results showed that the immobilized derivatives tend to preferentially hydrolyze EPA.