Formaldehyde is one of the most common indoor air pollutants that seriously damage human health. It is of significant importance to effectively remove indoor formaldehyde. In this work, a novel cement-based composite with ZIF-8@TiO2-coated activated carbon fibers (TiO2-ACFs) was prepared and shown to remove the indoor formaldehyde effectively. TiO2 was coated on ACFs via atomic layer deposition, and then ZIF-8 was grown on the surface of TiO2-ACFs. The ZIF-8@TiO2-ACFs were then mixed with cement slurry and thus formed a cement-based composite, which exhibited excellent formaldehyde removal performance. In particular, if assisted with UV light, the removal efficiency for formaldehyde by the cement-based composite showed an obvious increase.