Sepiolite powder was hydrothermally solidified into a cemented, designed to function both in humidity regulation and volatile organic compound (VOC) removal. The solidification process mimicked the cementation of sedimentary rocks. The formation of the calcium aluminium silicate hydrate (C-A-S-H) or Al-tobermorite enhanced the strength (maximum flexural strength >17 MPa) and improved the porosity of the solidified materials. Due to the low temperature of hydrothermal solidification (≤473.15 K), most sepiolite remained in the matrix of the solidified specimens. The cemented sepiolite aggregate shows outstanding humidity-regulating performance (moisture adsorption of 430 g m–2), and the synergistic effects of the residual sepiolite and neoformed Al-tobermorite exerted a positive influence on the humidity regulation performance of the material. Similarly to the behaviour of sepiolite, the solidified material also displayed good formaldehyde-removal capacity (60–68%). The pore dimensions controlled the humidity regulation and formaldehyde removal. The humidity regulation depends on the mesopores, which originate mainly from both the original sepiolite and the neoformed C-A-S-H phases and Al-tobermorite, while the formaldehyde removal depends on the micropores from the original sepiolite in the matrix. As such, the cemented sepiolite aggregate might be hydrothermally synthesized and might be used to improve the comfort and safety of indoor environments for human beings.