A catalytic membrane nano reactor (CMNR) with deep-permeation nanocomposite structure (DPNS) has been fabricated by flowing synthesis for methanol dehydrogenation to formaldehyde. In this structure, Cu/ZnO nanoparticles are in situ immobilized in the pores of Ti membrane substrate. The characterization by XRD, TGA, XPS, SEM and TEM indicates that the Cu/ZnO nanoparticles with mean size 82 nm was successfully embedded into the membrane pores, and well distributed along the thickness direction of the membrane. In the methanol dehydrogenation reaction, for one sheet of membrane setting up, the selectivity of formaldehyde 98%, the catalyst turnover frequency (TOF) 183 mmol·h^-1·g^-1, the pressure drop 2.7 kPa with gas permeating the membrane have been measured, under reaction temperature 360 ℃, the gas flux 8 m³·m^-2·h^-1 through the membrane.