Formaldehyde (HCHO) is an important indicator of indoor air quality and one of the markers for detecting lung cancer. Both medical and air quality applications require the detection of formaldehyde in the sub-ppm range. Nanocomposites SnO2/TiO2 are promising candidates for HCHO detection, both in dark conditions and under UV illumination. Nanocomposites TiO2@SnO2 were synthesized by ALD method using nanocrystalline SnO2 powder as a substrate for TiO2 layer growth. The microstructure and composition of the samples were characterized by ICP-MS, TEM, XRD and Raman spectroscopy methods. The active surface sites were investigated using FTIR and TPR-H2 methods. The mechanism of formaldehyde oxidation on the surface of semiconductor oxides was studied by in situ DRIFTS method. The sensor properties of nanocrystalline SnO2 and TiO2@SnO2 nanocomposites toward formaldehyde (0.06–0.6 ppm) were studied by in situ electrical conductivity measurements in dark conditions and under periodic UV illumination at 50–300 °C. Nanocomposites TiO2@SnO2 exhibit a higher sensor signal than SnO2 and a decrease in the optimal measurement temperature by 50 °C. This result is explained based on the model considering the formation of n-n heterocontact at the SnO2/TiO2 interface. UV illumination leads to a decrease in sensor response compared with that obtained in dark conditions because of the photodesorption of oxygen involved in the oxidation of formaldehyde.