Developing high-efficiency formaldehyde (HCHO) catalytic oxidation catalysts is of significance and practicability for indoor air decontamination. It is generally considered that anionic doping is a traditional strategy to regulate the reaction activity of catalyst materials. However, one of the concerns worth exploring is the recognition of doping sites and their impact on catalytic performance. Herein, nitrogen atoms are successfully introduced into the MnO2 structure by high-temperature calcination with urea as the nitrogen source for the first time. By regulating the usage of urea, nitrogen atoms are selectively and successfully doped into the interstitial sites and substitutional sites. Furthermore, the effect of nitrogen-doped MnO2 on the catalytic oxidation of HCHO is studied in detail. Results indicate that nitrogen doping can promote the formation of oxygen vacancies, strengthen the activation of adsorbed O2, and enhance the adsorption of HCHO, which is conducive to catalytic decomposition of HCHO. Importantly, nitrogen doping at various doping sites has a considerable effect on catalytic decomposition activity. Although both interstitial and substitutional nitrogen doping can boost the decomposition performance of HCHO, the interstitial sites are the most suitable doping sites in the α-MnO2 lattice. The chemical environment around the interstitial sites is favorable for the creation of oxygen vacancies, as well as the adsorption/activation of HCHO and O2. Interstitial nitrogen doping can dramatically increase the HCHO catalytic activity of α-MnO2, and the complete catalytic decomposition temperature is reduced from 130 to 90 °C at the condition of GHSV = 90 L/gcat·h. This study provides a facile and effective method for site-selective nitrogen-doping and an in-depth understanding of its effect on catalytic activity.