Biotransformation of steroids by fungi has been raised as a successful, eco-friendly, and cost-effective biotechnological alternative for chemical derivatization. Endophytic fungi live inside vegetal tissues without causing damage to the host plant, making available unique enzymes that carry out uncommon reactions. Moreover, using nanofibrous membranes as support for immobilizing fungal cells is a powerful strategy to improve their performance by enabling the combined action of adsorption and transformation processes, along with increasing the stability of the fungal cell. In the present study, we report the use of polyacrylonitrile nanofibrous membrane (PAN NFM) produced by electrospinning as supporting material for immobilizing the endophytic fungus Penicillium citrinum H7 aiming the biotransformation of progesterone. The PAN@H7 NFM displayed a high progesterone transformation efficiency (above 90%). The investigation of the biotransformation pathway of progesterone allowed the putative structural characterization of its main fungal metabolite by GC-MS analysis. The oxidative potential of P. citrinum H7 was selective for the C-17 position of the steroidal nucleus.