In this study, a TiO₂–alumina photocatalyst was manufactured by coating a surface-treated alumina substrate with TiO₂ sol using the sol–gel method, and the photolysis and conversion of acetaldehyde in the gas phase were evaluated. The effects of acetaldehyde flow rate (i.e., retention time), ultraviolet wavelength, moisture, and catalyst heat-treatment temperature on the conversion of acetaldehyde were investigated. The experiments confirmed that a decrease in flow rate (i.e., increase in retention time), increase in moisture level, and decrease in the ultraviolet wavelength of the light source increased the conversion rate of the gaseous acetaldehyde. Among the three heat-treatment temperatures (450, 650, and 850 °C) used in the catalyst manufacturing process, the catalyst treated at 650 °C had the highest acetaldehyde conversion rate. As a result of its increased acetaldehyde decomposition and photoefficiency, the newly manufactured TiO₂–alumina photocatalyst is expected to be used alongside a photoreactor as an air-purifying filter. Furthermore, the photocatalyst surface treatment demonstrated herein can be adopted to fabricate various environmentally friendly materials in the future.