Human health is adversely impacted by indoor formaldehyde. Given that buildings with conventional PV-DSVs fail to improve indoor air quality in the indoor or outdoor air circulation mode without any air handling devices. To remove indoor formaldehyde, a thermal-catalytic CdTe PV double-skin ventilated window is proposed. A corresponding mathematical model was established and validated against experiment data. Based on the validated model, the thermal, electrical, daylighting, and formaldehyde degradation performances were investigated and compared with a conventional PV-DSV (PV-CDSV). Additionally, parametric analysis was conducted to analyse impacts of four factors, including the area of catalytic coating, the window-to-wall ratio, outdoor solar radiation, and ambient temperature, on the energy performance of the proposed window. Main results are: (1) The proposed window had a higher power output but a bit lower thermal efficiency than PV-CDSV, and it had a higher in winter, which reached 35.35% and was 31.45% higher than that of the PV-CDSV. (2) The net energy consumption of PV-TCDSV increased by 6.59% and 6.26% compared with PV-CDSV in winter and summer, respectively. (3) Among the four influencing factors, the solar radiation and ambient temperature had strong impacts on the effectiveness of formaldehyde degradation.