Due to rapid deactivation of catalysts, the effective conversion of biomass with oxygen-rich and hydrogen-deficient characteristics to transportation fuels and high-valued chemicals via catalytic pyrolysis remains a challenge for commercialization. Hydrogen-rich plastic is used as feedstock co-fed with biomass to improve the catalytic pyrolysis process. The present work aims to investigate the co-pyrolysis process of cellulose and polyethylene (PE) over MgO by TG combined with photoionization time-of-flight mass spectrometry (PI-TOF-MS), which features on-line detection of catalytic pyrolysis products in real time. The MgO catalyst could improve the pyrolysis of cellulose and enhance the CC bond breaking of PE, respectively. During catalytic co-pyrolysis, the yields from olefins and furan as well as its derivatives can be enhanced obviously. Further, the formation of additional aromatics can be observed due to the Diels-Alder reaction. This work shows TG coupled to PI-TOF-MS is a powerful setup to study and optimize catalytic co-pyrolysis process.