The rhodium-catalyzed hydroformylation of alkynyl sulfides at 40 °C under 5 bars of syngas is described. The method gives access to α-sulfenyl acroleins with α/β regioselectivities up to 89/11 and is applicable to alkyl or aryl substituted substrates. It is effective even on more complex substrates, such as cysteine and cholesterol derivatives. To demonstrate the synthetic potential of the obtained products, (Z)-3-cyclohexyl-2-methylsulfenyl acrolein was selected as an example and its sulfur atom selectively oxidized to the corresponding sulfoxide or sulfone. Acid-promoted (Z) to (E) isomerization of the double bond occurred during oxidation. The three obtained sulfenyl-, sulfinyl-, and sulfonyl-functionalized acroleins have been then used as dienophiles to access cyclohexene carbaldehydes.