Ursodeoxycholic acid (UDCA) and acetoacetate are natural compounds present in the human intestine and blood, respectively. A number of studies highlighted that besides their well-known primary biological roles, both compounds possess the ability to influence a variety of cellular processes involved in the etiology of various diseases. These reasons suggested the potential of acetoacetate–UDCA hybrids as possible therapeutic agents and prompted us to develop a synthetic strategy to selectively derivatize the hydroxyl groups of the bile acid with acetoacetyl moieties. 3α-acetoacetoxy UDCA was obtained (60% isolated yield) via the regioselective transesterification of methyl acetoacetate with UDCA promoted by the Candida antarctica lipase B (CAL-B). 3α,7β-bis-acetoacetoxy UDCA was obtained instead by thermal condensation of methyl acetoacetate and UDCA (80% isolated yield). This bis-adduct was finally converted to the 7β-acetoacetoxy UDCA (82% isolated yield) via CAL-B catalyzed regioselective alcoholysis of the ester group on the 3α position. In order to demonstrate the value of the above new hybrids as UDCA-based scaffolds, 3α-acetoacetoxy UDCA was subjected to multicomponent Biginelli reaction with benzaldehyde and urea to obtain the corresponding 4-phenyl-3,4-dihydropyrimidin-2-(1H)-one derivative in 65% isolated yield.