Release of formaldehyde gas indoors is a serious threat to human health. The traditional adsorption method is not stable enough for formaldehyde removal. Photocatalytic degradation of formaldehyde is effective and rapid, but photocatalysts are generally expensive and not easy to recycle. In this paper, geopolymer microspheres were applied as matrix materials for photocatalysts loading to degrade formaldehyde. Geopolymer microspheres were prepared from red mud and granulated blast furnace slag as raw materials by alkali activation. When the red mud doping was 50%, the concentration of NaOH solution was 6 mol/L, and the additive amount was 30 mL, the prepared geopolymer microspheres possessed good morphological characteristics and a large specific surface area of 38.80 m2/g. With the loading of BiOX (X = Cl, Br, I) photocatalysts on the surface of geopolymer microspheres, 85.71% of formaldehyde gas were adsorbed within 60 min. The formaldehyde degradation rate of the geopolymer microspheres loaded with BiOI reached 87.46% within 180 min, which was 23.07% higher than that of the microspheres loaded with BiOBr, and 50.50% higher than that of the microspheres loaded with BiOCl. While ensuring the efficient degradation of formaldehyde, the BiOX (X = Cl, Br, I)-loaded geopolymer microspheres are easy to recycle and can save space. This work not only promotes the resource utilization of red mud and granulated blast furnace slag, but also provides a new idea on the formation of catalysts in the process of photocatalytic degradation of formaldehyde.