The application potential of fine powder photocatalysts could be effectively improved by preparing membranes to form large-scale photocatalytic materials. Herein, a composite nanofiber membrane embedded with TiO₂@diatomite catalyst was prepared with a simple electrospinning-spraying process for formaldehyde (HCHO) photocatalytic purification. The results show that the prepared composite nanofiber membranes exhibit good photocatalytic performance toward HCHO under UV light and actual sunlight illumination, and the degradation rate is up to 1.03 times that of the membrane prepared by Degussa P25. Moreover, it has good reusability and cycling structural stability. The introduction of natural diatomite not only enhanced the HCHO removal performance with a lower preparation cost, but also improved the air permeability (avg. 86.5 mm·s⁻¹) and water vapor permeability (avg. 48.5 g·m⁻²·24 h). Moreover, the influences of environmental factors, including the initial concentration of HCHO, relative humidity and environmental temperature, on the process of photocatalytic removal of HCHO are systematically investigated. Additionally, the intermediates of the photocatalytic degradation of HCHO are also obtained by in situ DRIFTS analysis, and the degradation pathway is presented accordingly. This work provides an alternative solution toward using fine powder photocatalysts to obtain large-scale photocatalytic materials and a deep insight into preparing mineral-based catalytic membranes for air purification.