High performance formaldehyde gas sensors are widely needed for indoor air quality monitoring. A modified layer of zeolite on the surface of metal oxide semiconductors results in selectivity improvement to formaldehyde as gas sensors. However, there is insufficient knowledge on how the thickness of the zeolite layer affects the gas sensing properties. In this paper, ZSM-5 zeolite films were coated on the surface of the SnO2 gas sensors by the screen printing method. The thickness of ZSM-5 zeolite films was controlled by adjusting the numbers of screen printing layers. The influence of ZSM-5 film thickness on the performance of ZSM-5/SnO2 gas sensors was studied. The results showed that the ZSM-5/SnO2 gas sensors with a thickness of 19.5 μm greatly improved the selectivity to formaldehyde, and reduced the response to ethanol, acetone and benzene at 350 °C. The mechanism of the selectivity improvement to formaldehyde of the sensors was discussed.