It is well-known that enzymes are molecules particularly susceptible to pH and temperature variations. Immobilization techniques may overcome this weakness besides improving the reusability of the biocatalysts. Given the strong push toward a circular economy, the use of natural lignocellulosic wastes as supports for enzyme immobilization has been increasingly attractive in recent years. This fact is mainly due to their high availability, low costs, and the possibility of reducing the environmental impact that can occur when they are improperly stored. In addition, they have physical and chemical characteristics suitable for enzyme immobilization (large surface area, high rigidity, porosity, reactive functional groups, etc.). This review aims to guide readers and provide them with the tools necessary to select the most suitable methodology for lipase immobilization on lignocellulosic wastes. The importance and the characteristics of an increasingly interesting enzyme, such as lipase, and the advantages and disadvantages of the different immobilization methods will be discussed. The various kinds of lignocellulosic wastes and the processing required to make them suitable as carriers will be also reported.