We introduce the problem of Private Linear Transformation (PLT). This problem includes a single (or multiple) remote server(s) storing (identical copies of) $K$ messages and a user who wants to compute $L$ linear combinations of a $D$-subset of these messages by downloading the minimum amount of information from the server(s) while protecting the privacy of the entire set of $D$ messages. This problem generalizes the Private Information Retrieval and Private Linear Computation problems. In this work, we focus on the single-server case. For the setting in which the coefficient matrix of the required $L$ linear combinations generates a Maximum Distance Separable (MDS) code, we characterize the capacity -- defined as the supremum of all achievable download rates, for all parameters $K, D, L$. In addition, we present lower and/or upper bounds on the capacity for the settings with non-MDS coefficient matrices and the settings with a prior side information.