We report the synthesis of cerium oxide, cobalt oxide, mixed cerium, and cobalt oxides and a Ce–Co/Al2O3 membrane, which are employed as catalysts for the catalytic wet oxidation (CWO) reaction process and the removal of formaldehyde from industrial effluents. Formaldehyde is present in numerous waste streams from the chemical industry in a concentration low enough to make its recovery not economically justified but high enough to create an environmental hazard. Common biological degradation methods do not work for formaldehyde, a highly toxic but refractory, low biodegradability substance. The CWO reaction is a recent, promising alternative that also permits much lower temperature and pressure conditions than other oxidation processes, resulting in economic benefits. The CWO reaction employing Ce- and Co-containing catalysts was carried out inside a slurry batch reactor and a membrane reactor. Experimental results are reported. Next, a mixed Ce–Co oxide film was supported on an γ-alumina membrane used in a catalytic membrane reactor to compare formaldehyde removal between both types of systems. Catalytic materials with cerium and with a relatively large amount of cerium favored the transformation of formaldehyde. Cerium was present as cerianite in the catalytic materials, as indicated by X-ray diffraction patterns.