As the most dangerous carcinogens, efficient and green removal of Aflatoxin B1 (AFB1) is imperative. For the first time, horseradish peroxidase (HRP) was immobilized in/on an alginate/chitosan/montmorillonite (SA/CS/MON) hybrid microsphere and applied for the AFB1 removal. Compared to the enzyme immobilization via encapsulation and adsorption followed by cross-linking, HRP immobilized on the microsphere surface via covalent bonding showed the highest specific activity and AFB1 removal efficiency. The negatively charged MON could not only adsorb abundant AFB1 but also attract more CS chains on the microsphere surface and bring more active sites for enzyme immobilization and cross-linking; thus, the SA/CS/MON microspheres had stronger antiswelling ability and higher AFB1 adsorption capacity and enzyme loading. Although the AFB1 enrichment in the hybrid microsphere did not promote its degradation by enzymatic catalysis, the HRP-loaded hybrid microsphere could be reused and the enzymatic degradation of AFB1 increased a little as the adsorption became saturated. The enzymatic reaction was not enhanced by the substrate adsorption in this case because the AFB1 adsorption by the hybrid microspheres would decrease the AFB1 concentration in bulk solution and the degradation products might be adsorbed. The adsorbent (i.e., matrix for enzyme immobilization) has different adsorption ability to the substrate/product, and a catalyst with high activity on the substrate is desirable to maximize the synergistic effect of adsorption and catalysis. The obtained hybrid microsphere prototype is promising as a multifunctional matrix for many purposes since both the adsorbent and the catalyst can be designed.