Lipase-immobilized cellulosic capsules consisting of hydrophobic ethyl cellulose (EC) and hydrophilic carboxymethyl cellulose (CMC) were developed with a promising interfacial activity and water absorbency for the enhanced Pickering interfacial biocatalysis. Lipase was physically immobilized with water-absorbent materials (CMC) via hydrogen bonding and electrostatic interactions and acted as the interior catalytic core of the capsule. The interfacially active EC worked as the exterior shell, enabling capsules to stabilize the oil-in-water Pickering emulsion for the subsequent Pickering interfacial catalysis. The capsules with CMC created interior water-rich conditions to improve the conformational and enzymatic activity of the immobilized lipase. Compared with capsules without water-absorbent materials, the capsules with CMC enhanced the efficiency of the Pickering interfacial catalysis for the esterification of oleic acid and 1-octanol by 12%. Immobilized with a small amount of lipase (0.0625 g/g), the cellulosic capsules with water absorbency could convert 50.8% of the reactants after 10 h under room temperature, significantly higher than that by the same amount of free lipase in the biphasic system (15%) and a Pickering emulsion (24.1%) stabilized by empty capsules (without lipase). Moreover, the cellulosic capsules could be recycled by simple centrifugation while retaining their high relative catalytic activity for at least eight cycles, demonstrating their sustainable catalytic performance.