The present invention relates to fields of continuous directional catalysis of soybean slurry to extract protein and functional oil with nano-magnetic immobilized enzymes. The present invention discloses soybean slurry as raw material and continuous mobile phase, and nano-magnetic immobilized enzymes as stationary phase applied in three-phase magnetic fluidized bed. The present invention provides a method of enzymatic disrupting cell walls by nano-magnetic immobilized enzyme cocktail including cellulose, pectinase and alkaline protease. The method can he used to break down lipoprotein, lipopolysaccharide complex and break lipoprotein film on the surface of lipoprotein to release the lipid. The present invention also provides a method to catalyze phospholipid using nano-magnetic immobilized phospholipase to change the polarity of phospholipids and control liquid emulsification phenomenon. The enzymes disclosed in the present invention do not interfere with each other. The preparation method can be used to catalyze soybean slurry continuously using the nano-magnetic immobilized enzymes to extract protein and functional lipid simultaneously.