The invention belongs to the field of indoor air purification and relates to a wall-mounted type air purifier based on thermal regeneration and a purification method thereof. The purifier comprises a sealed cabin, a draught fan, an air channel body which is composed of a plurality of air valves, a low efficient filter, efficient reproducible volatile organic compounds (VOCs) absorption module, a formaldehyde absorption module, a heating wire, a VOCs sensor, a temperature sensor, and a programmable logic controller; the sealed cabin of the air purifier comprises an air purification chamber and a heating regeneration chamber; the low efficient filter, the efficient reproducible VOCs absorption module, the formaldehyde absorption module, the draught fan and the VOCs sensor are installed in the air purification chamber of the sealed cabin from bottom to top; the heating wire and the temperature sensor are installed in the heating regeneration chamber from top to bottom; the programmable logic controller is connected with the draught fan, the temperature sensor, the VOCs sensor and circuits of the multiple air valves. The purification method comprises four modes of purifying, thermal regenerating, pollution discharging and fresh air, and further comprises two functions of indoor purification and mechanical ventilation. According to the wall-mounted type air purifier based on thermal regeneration and the purification method thereof, indoor VOCs and indoor formaldehyde can be purified quickly, continuously and effectively, and the service life of the wall-mounted type air purifier is prolonged.