Candida antarctica lipase A was immobilized on spherical silica nanoparticles with oil-filled core and oil-induced mesoporous silica shell with different silica shell structures. The immobilization of enzymes was achieved by directly adding enzymes to the oil-in-water emulsion system under ambient synthesis conditions, and the silica shell structure was controlled by the addition of the cosolvent ethanol to the initial synthesis medium. Detailed structural analysis revealed the formation of oil-filled spherical silica nanoparticles with 3.4–4.2 nm mesopores randomly arranged in the silica shell; the thickness and pore characteristics of these pores markedly changed with the addition of ethanol. The retention of the enzyme activity during biocatalysis was significantly affected by the structural properties of the silica shells, and it was found that a thick and dense silica shell is essential to afford an active, recyclable, and stable biocatalyst. Furthermore, the oil encapsulated within the core cavity was found to play an important role in achieving a high catalytic efficiency.