Protease has a wide range of applications in actual production, but its free form has poor resistance to adverse external environments, readily causing activity losses. Moreover, free protease is difficult to recover, limiting its application in the food industry. Enzyme immobilization technology can solve these problems well. This article summarizes recent research on immobilized protease from two aspects: immobilization carriers and methods, points out possible challenges, and proposes possible future research directions. Subsequently, this review discusses the great potential of immobilized protease in improving the functional properties of proteins and preparing functionally active peptides. Therefore, the application of more forms of immobilized proteases in the food industry is an important development direction in the future.