Ultrafiltration liquid chromatography-mass spectrometry (UF-LC-MS), affinity-guided isolation, and molecular docking were integrated into one strategy for screening of enzyme inhibitors from functional foods. UF-LC-MS facilitated the rapid characterization of ligands that could bind to an enzyme; affinity-guided isolation was helpful for the efficient preparation of ligands for further bioactivity validation; and molecular docking contributed to studying ligand–protein interactions. The strategy was employed to screen pancreatic lipase inhibitors from Monascus-fermented rice (MFR). Finally, three active compounds, namely monascin, monasfluore B, and ankaflavin were discovered by UF-LC-MS and then purified by semipreparative HPLC. Their lipase-inhibitory activities were verified using an enzymatic functional assay. The Lineweaver–Burk plots showed that they inhibited lipase in a non-competitive manner, and the potential mechanisms were preliminarily explored by molecular docking. The results suggest that the strategy is effective in discovering bioactive compounds from complex systems.