Sodium-treated sepiolite (NaSep)-supported transition metal catalysts (TM/NaSep; TM = Cu, Fe, Ni, Mn, and Co) were synthesized via a rotary evaporation method. Physicochemical properties of the as-synthesized samples were characterized by means of various techniques, and their catalytic activities for HCHO (0.2%) oxidation were evaluated. Among the samples, Cu/NaSep exhibited superior performance, and complete HCHO conversion was achieved at 100 °C (GHSV = 240000 mL/(g·h)). Additionally, the sample retained good catalytic activity during a 42 h stability test. A number of factors, including elevated acidity, the abundance of oxygen species, and favorable low-temperature reducibility, were responsible for the excellent catalytic activity of Cu/NaSep. According to the results of the in-situ DRIFTS characterization, the HCHO oxidation mechanism was as follows: (i) HCHO was rapidly decomposed into dioxymethylene (DOM) species on the Cu/NaSep surface; (ii) DOM was then immediately converted to formate species; (iii) the resultant formate species were further oxidized to carbonates; (iv) the carbonate species were eventually converted to CO2 and H2O.