Removing indoor formaldehyde through solar thermal-catalytic technology has been deemed a reliable and promising solution. In recent years, solar thermal catalytic technology, combining solar thermal utilization with thermal catalysis for formaldehyde degradation, has received attention and deep research. In this paper, a PV double-skin façade integrated with a thermal-catalytic air-type PV/T collector (PV-DSF-TCPV/T) is proposed. The combined system is proposed to obtain a higher catalytic temperature and enhance formaldehyde degradation. Besides, because of the simultaneous heat recovery of both PV-DSF and TCPV/T, the combined system offers a higher indoor heat gain and a reduction of heating load in winter. The simulation work mainly focuses on the comprehensive energy performance as well as the formaldehyde degradation performance of the PV-DSF-TCPV/T applied in four Chinese cities, including Beijing, Changchun, Shanghai, and Kunming, which all have energy demand for space heating in heating seasons. The Main conclusions of the study are: (1) Compared to the conventional system, the electricity of the proposed system was increased by 36.17%, 34%, 36.7%, and 38.62%, respectively. (2) The air-conditioning energy consumption of the aforementioned cities had a 1.33%, 0.7%, 2.36%, and 2.27% reduction in comparison with the results of the conventional system. (3) The proposed system surpassed the conventional system with aspect to the formaldehyde degradation, and the provision of the clean air volume was increased by 61%, 211.13%, 16.86%, and 75.66%, respectively.