The hydroformylation of alkenes with CO and H2 to manufacture aldehydes is one of the most large-scale chemical reactions. However, an efficient and recyclable heterogeneous catalyst for alkene hydroformylation is extremely in demand in academia and industry. In this study, a sulfated carbon nitride supported rhodium particle catalyst (Rh/S-g-C3N4) was successfully synthesized via an impregnation-borohydride reduction method and applied in the hydroformylation of alkenes. The catalysts were characterized by XRD, FTIR, SEM, TEM, XPS, and nitrogen adsorption. The influence of the sulfate content, pressure of syngas, temperature, and reaction time, as well as the stability of Rh/S-g-C3N4, on the hydroformylation was examined in detail. The delocalized conjugated structure in g-C3N4 can lead to the formation of electron-deficient aromatic intermediates with alkenes. The sulphate g-C3N4 has a defected surface owing to the formation of oxygen vacancies, which increased the adsorption and dispersion of RhNPs on the surface of g-C3N4. Therefore, Rh/S-g-C3N4 exhibited an outstanding catalytic performance for styrene hydroformylation (TOF = 9000 h−1), the conversion of styrene could reach 99.9%, and the regioselectivity for the branched aldehyde was 52% under the optimized reaction conditions. The catalytic properties of Rh/S-g-C3N4 were also studied in the hydroformylation of various alkenes and displayed an excellent catalytic performance. Furthermore, the reuse of Rh/S-g-C3N4 was tested for five recycling processes, without an obvious decrease in the activity and selectivity under the optimum reaction conditions. These findings demonstrated that Rh/S-g-C3N4 is a potential catalyst for heterogeneous hydroformylation.