Formaldehyde (HCHO) is an important intermediate in tropospheric photochemistry. However, study of its evolution characteristics under heavy pollution conditions in China is limited, especially for high temporal resolutions, making it difficult to analyze its sources and environmental impacts. In this study, ambient levels of HCHO were monitored using a proton‐transfer reaction mass spectrometer at an urban site in the Pearl River Delta of China. Continuous monitoring campaigns were conducted in the spring, summer, fall, and winter in 2016. The highest averaged HCHO concentrations were observed in autumn (5.1 ± 3.1 ppbv) and summer (5.0 ± 4.4 ppbv), followed by winter (4.2 ± 2.2 ppbv) and spring (3.4 ± 1.6 ppbv). The daily maximum of HCHO occurs in the early afternoon and shows good correlations with O3 and the secondary organic aerosol tracer during the day, revealing close relationships between ambient HCHO and secondary formations in Shenzhen, especially in summer and autumn. The daytime HCHO is estimated to be the major contributor to O3 formation and OH radical production, indicating that HCHO plays a key role in the urban atmospheric photochemical reactions. Anthropogenic secondary formation was calculated to be the dominant source of HCHO using a photochemical age‐based parameterization method, with an average proportion of 39%. The contributions of biogenic sources in summer (41%) and autumn (39%) are much higher than those in spring (26%) and winter (28%), while the contributions of anthropogenic primary sources in spring (20%) and winter (18%) are twice those in summer (9%) and autumn (9%).