An immobilized lipolytic enzyme for esterification and interesterification of fats and oils is prepared by adsorbing a fatty acid or a derivative thereof onto an insoluble carrier and then adsorbing a lipolytic enzyme onto the carrier in an aqueous medium. The resultant immobilized lipolytic enzyme can be dried to a water content of 2 wt. % or less. Preferably, the carrier is a phenol/formaldehyde resin, the lipolytic enzyme is from Rhizopus japonicus and the fatty acid is linoleic acid, lauric acid, stearic acid, ricinoleic acid or isostearic acid. A reaction column can be charged with the dried immobilized lipolytic enzyme and reaction continuously carried out without the use of a solvent. Preferably, starting materials have a water content of 0.01 to 0.2 wt. % and residence time in the column is 2 hours or shorter.