One of the major challenges in sustainable waste management in the agri-food industry following the “zero waste” model is the application of the circular economy strategy, including the development of innovative waste utilization techniques. The conversion of agri-food waste into carriers for the immobilization of enzymes is one such technique. Replacing chemical catalysts with immobilized enzymes (i.e., immobilized/heterogeneous biocatalysts) could help reduce the energy efficiency and environmental sustainability problems of existing chemically catalysed processes. On the other hand, the economics of the process strongly depend on the price of the immobilized enzyme. The conversion of agricultural and food wastes into low-cost enzyme carriers could lead to the development of immobilized enzymes with desirable operating characteristics and subsequently lower the price of immobilized enzymes for use in biocatalytic production. In this context, this review provides insight into the possibilities of reusing food industry wastes, namely, eggshells, coffee grounds, and brown onion skins, as carriers for lipase immobilization.