As one of toxic Volatile Organic Pollutant (TVOCs), formaldehyde has a toxic effect on microorganisms, and then inhibits the biochemical process of formaldehyde wastewater treatment. Therefore, the selective degradation of formaldehyde is of great significance to achieve formaldehyde wastewater high-efficiency and low-cost treatment. This study constructed a heterogeneous Fe-ZSM-5/H2O2 Fenton system for selective degradation to target compounds. By bonding Fe3+ onto the surface of ZSM-5 molecular sieve, Fe-ZSM-5 was prepared successfully. XRD, BET and FT-IR spectral studies shown the prepared Fe-ZSM-5 was mainly composed of micropores. The influences of different variables on formaldehyde selective heterogeneous Fenton degradation performance were studied. The 93.72% formaldehyde degradation and the 98.15% selectivity of formaldehyde compared with glucose had demonstrated in the optimized Fenton system after 360 min. Notably, the resultant selective Fenton oxidation system had a wide range of pH suitability from 3.0 to 10.0. Also, the Fe-ZSM-5 was used in 5 consecutive cycles, while the degradation efficiency of formaldehyde did not drop dramatically. Using reactive oxygen species scavengers, hydroxyl radical was the main active substance to degrade formaldehyde. Furthermore, the great degradation performance of this system to high concentration of formaldehyde was acquired, and the degrading efficiency was more than 95%.