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Recently, the occurrence of fog and haze over China has increased. The retrieval of trace gases from the multi-axis differential optical absorption spectroscopy (MAX-DOAS) is challenging under these conditions. In this study, various reported retrieval settings for formaldehyde (HCHO) and sulfur dioxide (SO2) are compared to evaluate the performance of these settings under different meteorological conditions (clear day, haze, and fog). The dataset from 1st December 2019 to 31st March 2020 over Nanjing, China, is used in this study. The results indicated that for HCHO, the optimal settings were in the 324.5–359 nm wavelength window with a polynomial order of five. At these settings, the fitting and root mean squared (RMS) errors for column density were considerably improved for haze and fog conditions, and the differential slant column densities (DSCDs) showed more accurate values compared to the DSCDs between 336.5 and 359 nm. For SO2, the optimal settings for retrieval were found to be at 307–328 nm with a polynomial order of five. Here, root mean square (RMS) and fitting errors were significantly lower under all conditions. The observed HCHO and SO2 vertical column densities were significantly lower on fog days compared to clear days, reflecting a decreased chemical production of HCHO and aqueous phase oxidation of SO2 in fog droplets.