The biotransformations of a range of steroidal compounds, including 17α-hydroxy progesterone, progesterone, testosterone, androst-4-ene-3,17-dione (AD), pregnenolone, and dehydroepiandrosterone (DHEA), by Penicillium simplicissimum WY134-2 have been investigated. In all the cases, testolic acid and testololactone were detected, and the acid was converted to the lactone when pH was adjusted to 1, leading to isolation of testololactone in 25%–96% yields. Especially for progesterone and testosterone, the isolated yields were 93% and 96% with substrate concentration being 3 g/L, suggesting that P. simplicissimum WY134-2 may be used for the synthesis of testololactone. The results revealed the multi-functional catalytic activity of P. simplicissimum WY134-2 toward steroids for the first time. The possible reaction pathways of steroids promoted by this strain were discussed.