Formaldehyde is one of the most important intermediate chemicals and has been produced industrially since 1889. Formaldehyde is a key feedstock in several industries like resins, polymers, adhesives, and paints, making it one of the most valuable chemicals in the world. However, not many studies have been dedicated to reviewing the production of this economically important product. In this review paper, we study the leading commercial processes for formaldehyde production and compare them with recent advancements in catalysis and novel processes. This paper compares, in extensive detail, the reaction mechanisms and kinetics of water ballast process (or BASF process), methanol ballast process, and Formox process. The thermodynamics of the reactions involved in the formaldehyde production process was investigated using HSC Chemistry (TM) software (Outotec Oyj, Espoo, Finland). Exergy analysis was carried out for the natural gas to methanol process and the methanol ballast process for formaldehyde production. The former process was simulated using Aspen HYSYS (TM) and the latter using Aspen Plus (TM) software (Aspen technology, Burlington, MA, USA). The yield and product specifications from the simulation results closely matched with published experimental data. The exergy efficiencies of the natural gas to synthesis gas via steam reforming, methanol synthesis, and formaldehyde synthesis processes were calculated as 60.8%, 61.6%, and 66%, respectively. The overall exergy efficiency of natural gas conversion into formaldehyde was found to be only 43.2%. The main sources of exergy losses were the steam reformer and methanol loss in formaldehyde synthesis process. Despite high conversions and selectivities of these processes, the low exergy efficiency suggests that innovations in formaldehyde production processes could give a more sustainable product. Novel methods of direct conversion of natural gas or synthesis gas into formaldehyde will improve the exergy efficiency, but the conversion rate must also be increased with advancements in catalysis.