Urine-based formaldehyde has been reported to be a potential biomarker for Alzheimer’s disease (AD). However, there is a lack of research about the correlation between urine formaldehyde and cognitive abilities in the clinical spectrum of AD, especially the preclinical period. The relationship of urine formaldehyde with APOE genotype, brain Aβ status and plasma pathological markers in AD are also not clear. This study intends to explore the correlation between urine formaldehyde and cognitive abilities throughout the AD continuum, to evaluate the role of APOE genotype and Aβ accumulation on urine formaldehyde, and further to clarify the relationship between urine formaldehyde level and AD plasma pathological markers. We recruited 72 cognitively normal controls (NC), 110 subjective cognitive decline (SCD), 140 objectively defined subtle cognitive decline (Obj-SCD), 171 mild cognitive impairment (MCI) and 136 AD dementia participants. Next, we collected the data of clinical materials, neuropsychological examination, APOE genotyping, urine formaldehyde concentration, 18F-florbetapir PET imaging and plasma biomarkers. Compared with NC, Obj-SCD and MCI groups, the level of urine formaldehyde was found to be significantly upregulated in SCD group. In addition, the level of urine formaldehyde was significantly higher in AD group compared to both NC and MCI groups. Further subgroup analysis showed that, the level of urine formaldehyde was higher in APOE ε4+ subgroup compared to APOE ε4– subgroup in both NC and AD groups. There was no difference in urine formaldehyde level between the brain Aβ+ subgroup and Aβ– subgroup in each group. In addition, regression analysis showed urine formaldehyde level was correlated with gender, plasma Aβ42 and p-Tau181/T-tau. The dynamic change of urine formaldehyde in the AD continuum could be used as a potential biomarker, and combined with comprehensive cognitive evaluation could become a useful method to distinguish SCD from NC and Obj-SCD, and to distinguish MCI from AD.