Two fungal cultures Aspergillus niger and Cunninghamella blakesleeana were used for the biotransformation of methenolone enanthate (1). Biotransformation with A. niger led to the synthesis of three new (2–4), and three known (5–7) metabolites, while fermentation with C. blakesleeana yielded metabolite 6. Substrate 1 and the resulting metabolites were evaluated for their immunomodulatory activities. Substrate 1 was found to be inactive, while metabolites 2 and 3 showed a potent inhibition of ROS generation by whole blood (IC50 = 8.60 and 7.05 μg/mL), as well as from isolated polymorphonuclear leukocytes (PMNs) (IC50 = 14.0 and 4.70 μg/mL), respectively. Moreover, compound 3 (34.21%) moderately inhibited the production of TNF-α, whereas 2 (88.63%) showed a potent inhibition of TNF-α produced by the THP-1 cells. These activities indicated immunomodulatory potential of compounds 2 and 3. All products were found to be non-toxic to 3T3 mouse fibroblast cells.