Photocatalytic (PC) Trombe wall has the daul functions of air purification and space heating, which provide an sustainable solution on reduce building energy consumption. However, the narrow response band range of traditional PC material TiO2 limits its application in buildings. This manuscript innovatively applies visible light (VIS) photocatalyst to Trombe wall to achieve indoor Volatile Organic Compounds (VOC) degradation in the range of VIS light (<760 nm). Firstly, a PC-Trombe wall experimental test system was built, and the thermal and formaldehyde purification performance were tested. Then, the thermal, mass transfer and formaldehyde removal coupling model of the wall was established and experimentally verified. More importantly, the performance evaluation method on composite wall-based exergy analysis both considering energy and purification aspects was established. The main results are as follows: (1) The thermal efficiency, purification efficiency of the wall on a sunny day were 0.29 and 0.53, respectively, while the results on a cloudy day were 0.26 and 0.48, respectively. (2) The thermal exergy efficiency of the system on a sunny and cloudy day was 0.008 and 0.005, respectively, and the purification exergy efficiency was 0.029 and 0.032, respectively. (3) The exergy destruction caused by the catalytic layer was the largest.