In the present work, borage oil (Borago officinalis) was used as the main source of gamma linolenic acid (GLA) to obtain ethyl esters by enzymatic ethanolysis using immobilized enzymes for its application in the food industry. Commercial Thermomyces lanuginosus lipase (TLL) was compared to chemical ethanolysis in alkaline medium. In addition, TLL was immobilized by adsorption on hydrophobic porous support (Octadecyl-Sepabeads®) to compare the results. Fatty acid ethyl ester (FAEE) yields of both reactions were compared under the same conditions (25 °C and 200 rpm) and analyzed by GC-MS. Moreover, the conversion yield for borage oil ethanolysis catalyzed by TLL immobilized on C18-Sepabeads® supports was similar to the chemical pathway (93.4% and 99.5%, respectively). When this biocatalyst was used in a solvent-free system (at 40 °C and 200 rpm), it was possible to obtain a high FAEE yield of 84.3% in the first 24 h of reaction. Furthermore, it was possible to re-use the immobilized biocatalyst for the performance of five reaction cycles maintaining 68% of its initial activity. Thus, the use of immobilized enzymes in solvent-free systems is an eco-friendly alternative to obtain GLA ethyl esters for its possible application in cosmetics and food.