Tropospheric profiles of HCHO, NO2, and O3 are important for analyzing ozone formation mechanism. In this study, ground-based multi-axis differential optical absorption spectroscopy (MAX-DOAS), light detection and ranging (LIDAR), and in-situ measurements were simultaneously performed to diagnose ozone formation sensitivity at the Heshan Observatory in the Pearl River Delta (PRD) region from September to end October 2019. The profiles of tropospheric HCHO and NO2 were retrieved from MAX-DOAS measurements using an optimal estimation method. The retrieved surface HCHO and NO2 results were validated with 2,4-dinitrophenylhydrazine (DNPH) and Thermo 42i measurements, and the correlation coefficients (R) were 0.78 and 0.81, respectively. The retrieved tropospheric vertical column densities (VCDs) of HCHO and NO2 were compared with TROPOMI measurements, and the correlation coefficients (R) were 0.68 and 0.87, respectively. In addition, MAX-DOAS and LIDAR measurements were combined to diagnose a typical planetary boundary layer (PBL) ozone pollution episode from September 28 to October 10, 2019; this episode was analyzed using HCHO/NO2 ratio as an indicator and was found to be dominated by the VOC-sensitive regime. Moreover, the regime transition of ozone formation sensitivity was calculated using the surface HCHO/NO2 ratio and increased O3 from the MAX-DOAS and Thermo 49i measurements, with transition thresholds of 1.43 and 1.78, respectively. Based on this definition, the ozone formation sensitivity at Heshan Observatory varied from VOC-sensitive (< 0.2 km and > 0.8 km) to NOx-sensitive (0.3–0.7 km) to VOC-NOx-sensitive (0.2–0.3 km and 0.7–0.8 km). The results improve our understanding of ozone formation sensitivity in the PRD region.