The present work reports covalent immobilization of steapsin lipase (SL) on Immobead-350 support matrix (IMB) to make a robust biocatalytic system to work under supercritical carbon dioxide condition (Sc-CO2). The developed biocatalyst (IMB:SL) was characterized in details and utilized to convert waste cooking sunflower oil (WCSO) into value-added energy chemical (biodiesel) in Sc-CO2. All reaction process parameters were optimized in detail which offered 86.33% yield of biodiesel from WCSO. The developed Sc-CO2 protocol is compared with the solvent-free conventional synthesis, which indicates almost twofold higher yield of biodiesel in Sc-CO2 media as compared to solvent-free condition. To extend the scope, we have tested fresh and waste cooking oils (WCO) from various sources, offering 81–94% yield of biodiesel. The biocatalyst activity was investigated in various parameters of supercritical condition to know the biocatalyst stability in Sc-CO2. Besides this, IMB:SL biocatalyst was effectively reused up to five recycle.