Unspecific peroxygenase from Agrocybe aegerite (AaeUPO) is a remarkable catalyst for the oxyfunctionalization of non-activated C−H bonds under mild conditions. It exhibits comparable activity to P450 monooxygenase but offers the advantage of using H₂O₂ instead of a complex electron transport chain to reductively activate O₂. Here, we demonstrate the successful oxidation of cyclohexane to cyclohexanol/cyclohexanone (KA-oil) using sol-gel encapsulated AaeUPO. Remarkably, cyclohexane serves both as a solvent and a substrate in this system, which simplifies product isolation. The ratio of cyclohexanone to cyclohexanol using this approach is remarkably higher compared to the oxidation using free AaeUPO in aqueous media using acetonitrile as a cosolvent. The utilization of sol-gel encapsulated AaeUPO offers a promising approach for oxyfunctionalization reactions and improves the chances for this enzyme to be incorporated in the same pot with other chemical transformations.