In this study, activity, selectivity and stability of vanadium catalysts supported on zirconia, hafnia, and alumina were examined in the oxidation of methanethiol and methanol to formaldehyde. The 3 wt-% vanadia–alumina catalyst with low VOx surface density showed the highest activity in the formaldehyde production. However, during the stability test, this catalyst deactivated due to the change in the oxidation state of vanadium from V5+ to V4+, decrease the amount of surface vanadium species and the formation of sulphates on the material surface. Zirconia and hafnia supported catalysts with high VOx surface density demonstrated better stability in the reaction conditions, but their activity in the formaldehyde production was lower. One reason for the lower activity might be the formation of metal-mixed oxide phases between vanadia and the support, which could also explain the decreased sulphur deposition on zirconia and hafnia after vanadium impregnation.