A synergistic combination of photocatalysis and thermocatalysis (photothermocatalysis) has been realized to harness the full solar spectrum with a particular focus on the infrared region to support sustainable oxidation reactions of carcinogenic oxygenated volatile organic compounds such as formaldehyde (FA). Here, recent advances in the oxidative removal of FA in air have been reviewed systematically. First, the fundamentals of the photothermocatalytic mechanism are introduced and discussed. Second, various aspects of the development and application of photothermocatalytic systems are described and reviewed. A specific focus is placed on the physicochemical characteristics of photothermocatalysts with respect to reaction conditions and oxidation performance using FA as a model compound. Third, the pathways and mechanisms of FA oxidation are elaborated and discussed in detail to provide insights into associated surface phenomena and surface chemistry at the molecular level. Finally, current shortcomings and future research directions are identified and discussed to help expand this research field further into the practical realm.