FeOx-SiO2 catalysts prepared by a sol-gel method were studied for the selective oxidation of methane by oxygen. A single-pass formaldehyde yield of 2.0% was obtained over the FeOx-SiO2 with an iron content of 0.5 wt% at 898 K. This 0.5 wt% FeOx-SiO2 catalyst demonstrated significantly higher catalytic performances than the 0.5 wt% FeOx/SiO2 prepared by an impregnation method. The correlation between the catalytic performances and the characterizations with UV-Vis and H2-TPR suggested that the higher dispersion of iron species in the catalyst prepared by the sol-gel method was responsible for its higher catalytic activity for formaldehyde formation. The modification of the FeOx-SiO2 by phosphorus enhanced the formaldehyde selectivity, and a single-pass formaldehyde yield of 2.4% could be attained over a P-FeOx-SiO2 catalyst (P/Fe = 0.5) at 898 K. Raman spectroscopic measurements indicated the formation of FePO4 nanoclusters in this catalyst, which were more selective toward formaldehyde formation.