Bio-lubricant was obtained through esterification of WCOs free fatty acids with neopentyl glycol by using Thermomyces lanuginosus lipase (TL) immobilized on Fe3O4-CA (citric acid modified magnetite nanoparticles) catalyst. An optimized eco-friendly procedure was used to synthesize Fe3O4-CA nanosupport for direct immobilization of the enzyme. The experimental results evidence the successful immobilization of lipase on the as produced nanoparticles with high efficiency >96%. The immobilized TL shows very high activity (activity recovery ∼99%). The immobilized lipase was used for the bio-lubricant synthesis from WCOs in a solvent-free system. The bio-lubricant conversion has been monitored for 24 h. High conversion of ∼45% and ∼68% were observed already after 3 h and 6 h of synthesis, respectively. No significant reduction, during ten cycles of use, of the lipase activity occurs. An increased conversion was obtained with the addition of molecular sieves, which permits to achieve a maximum conversion of 94% after 24 h. Analyses of the bio-lubricant properties showed a viscosity index of ∼179 and a pour point of ∼−8 °C.