The aim of this research was to improve the ethanol production process with very high gravity fermentation combined with entrapment cell immobilization employing non-supplemented high lactose-load cheese whey permeate (CWP) as a substrate. The effect of temperature and initial pH was tested on free and immobilized cells and the maximal allowable doses of substrate without inhibition effects were assessed. An experimental design by Response Surface Methodology (RSM) was applied to figure out the influence of gel formation parameters (alginate concentration, cell loading and bead size) on the entrapment immobilization process. Bead stability and continuous yield production was evaluated by repeated-batch recycling. The experimental data have demonstrated that non-supplemented high lactose-load CWP is an excellent low cost substrate. Lactose dosages between 170-190 g/L provided free-cell yield efficiencies reaching 95.5% with productivities higher than 1.80 g/(L·h) at 30 °C. The optimal immobilized model was validated recycling the gel beads for 288 h, with a mean ethanol production of 83.2 g/L, a productivity of 1.6 g/(L·h) and a yield efficiency of 83.2%. Therefore, results demonstrate the feasibility of combining very high fermentation processes with Kluyveromyces marxianus immobilization at laboratory scale, which encourages its validation in continuous pilot plant configurations.