Gas sensors for real-time monitoring of low HCHO concentrations have promising applications in the field of health protection and air treatment, and this work reports a novel resistive gas sensor with high sensitivity and selectivity to HCHO. The MOF-derived hollow In2O3 was mixed with ZIF-67(Co) and calcined twice to obtain a hollow Co3O4/In2O3 (hereafter collectively termed MZO-6) composite enriched with oxygen vacancies, and tests such as XPS and EPR proved that the strong interfacial electronic coupling increased the oxygen vacancies. The gas-sensitive test results show that the hollow composite MZO-6 with abundant oxygen vacancies has a higher response value (11,003) to 10 ppm of HCHO and achieves a fast response/recovery time (11/181 s) for HCHO at a lower operating temperature (140 °C). The MZO-6 material significantly enhances the selectivity to HCHO and reduces the interference of common pollutant gases such as ethanol, acetone, and xylene. There is no significant fluctuation of resistance and response values in the 30-day long-term stability test, and the material has good stability. The synergistic effect of the heterostructure and oxygen vacancies altered the formaldehyde adsorption intermediate pathway and reduced the reaction activation energy, enhancing the HCHO responsiveness and selectivity of the MZO-6 material.