FexOyHz nanostructures were incorporated into commercially available and highly porous alumina using the temperature-regulated chemical vapor deposition method with ferrocene as an Fe precursor and subsequent annealing. All processes were conducted under ambient pressure conditions without using any high-vacuum equipment. The entire internal micro- and mesopores of the Al2O3 substrate with a bead diameter of ∼2 mm were evenly decorated with FexOyHz nanoparticles. The FexOyHz/Al2O3 structures showed substantially high activity for acetaldehyde oxidation. Most importantly, FexOyHz/Al2O3 with a high surface area (∼200 m2/g) and abundant mesopores was found to uptake a large amount of acetaldehyde at room temperature, and subsequent thermal regeneration of FexOyHz/Al2O3 in air resulted in the emission of CO2 with only a negligibly small amount of acetaldehyde because FexOyHz nanoparticles can catalyze total oxidation of adsorbed acetaldehyde during the thermal treatment. Increase in the humidity of the atmosphere decreased the amount of acetaldehyde adsorbed on the surface due to the competitive adsorption of acetaldehyde and water molecules, although the adsorptive removal of acetaldehyde and total oxidative regeneration were verified under a broad range of humidity conditions (0–70%). Combinatory use of room-temperature adsorption and catalytic oxidation of adsorbed volatile organic compounds using FexOyHz/Al2O3 can be of potential application in indoor and outdoor pollution treatments.