The present disclosure discloses a method for producing 9α-hydroxy androstane-4-alkene-3,17-diketone by enzymatic conversion, and belongs to the fields of gene engineering and enzyme engineering. According to the present disclosure, oxidation subunit KshA, reduction subunit KshB and unknown active subunit KshC of 3-ketosteroid-9α-hydroxylase sourcing from Mycobacterium sp. Strain VKM Ac-1817D are successfully expressed in E. coli BL21, and KshC is identified as an oxidation subunit, the enzyme activity of which is far higher than that of KshA. BL21/pET-28a(+)-fdh constructed in the laboratory is used for expressing formate dehydrogenase (FDH), and by using crude enzyme liquid of KSH (KshB+KshC) and FDH engineering bacteria as a biocatalyst and a steroidal compound (AD) as a substrate, optimum reaction temperature is determined as 30° C. and optimum pH is determined as 7.0. In optimum conditions, AD is converted to produce a product 9-OH-AD, and within 20 hours, the output of 9-OH-AD is 4.7 g/L, and the molar conversion rate reaches 96.7%. According to the present disclosure, in production of 9-OH-AD, coupling of a 3-ketosteroid-9α-hydroxylase hydroxylation system and a coenzyme recycling system is realized, and the method has the advantages of being high in efficiency, low in cost, green, environmentally friendly and the like.