A catalyst for producing from an olefin the corresponding unsaturated aldehyde and unsaturated carboxylic acid in good yield, and a process for its production, are presented.It is a composite oxide catalyst containing at least molybdenum, bismuth and iron, to be used at the time of gas phase catalytic oxidation of an olefin with a molecular oxygen-containing gas to produce the corresponding unsaturated aldehyde and unsaturated carboxylic acid, wherein the loss on drying of the contained moisture, as represented by the following formula (1) (wherein W1 represents the weight when the catalyst is heated for two hours at 110.+-.5.degree. C., and W2 represents the weight of the catalyst prior to such heating), is at most 0.5 wt %: Loss on drying=(W2-W1)/W2.times.100. (1)