Enzymes exhibit high selectivity and reactivity under normal conditions but are sensitive to denaturation or inactivation by pH and temperature extremes, organic solvents, and detergents. To extend the use of these biocatalysts for practical applications, the technology of immobilization of enzymes on suitable supports was developed. Recently, these immobilized biomolecules have been widely used and a variety of immobilization supports have been studied. The majority of these supports cover diverse kinds of materials such as natural or synthetic polyhydroxylic matrixes, porous inorganic carriers, and all kinds of functional polymers. Microporous molecular sieve, zeolite, has attracted extensive interest in research because of its distinctive physical properties and geochemistry. Recently, with the discovery of a new family of mesoporous molecular sieves, MCM-41, this series of materials shows great potential for various applications. Molecular sieves involve such a series of materials that can discriminate between molecules, particularly on the basis of size. As support materials, they offer interesting properties, such as high surface areas, hydrophobic or hydrophilic behavior, and electrostatic interaction, as well as mechanical and chemical resistance, making them attractive for enzyme immobilization. In this article, different types of molecular sieves used in different immobilization methods including physical adsorption on zeolite, entrapment in mesoporous and macroporous MCM series, as well as chemically covalent binding to functionalized molecular sieves are reviewed. Key factors affecting the application of this biotechnology are discussed systematically, and immobilization mechanisms combined with newly developed techniques to elucidate the interactions between matrixes and enzyme molecules are also introduced.