The water-gas shift reaction is one of the most important reactions in industrial hydrogen production and plays a key role in Fischer-Tropsch-type synthesis, which is widely believed to generate hydrocarbons in the deep carbon cycle but is little known at extreme pressure-temperature conditions found in the Earth's upper mantle. Here, we performed extensive ab initio molecular dynamics simulations and free energy calculations to study the water-gas shift reaction. We found the direct formation of formic acid from CO and supercritical water at 10-13 GPa and 1400 K without any catalyst. Contrary to the common assumption that formic acid or formate is an intermediate product, we found that HCOOH is thermodynamically more stable than the products of the water-gas shift reaction above 3 GPa and at 1000-1400 K. Our study suggests that the water-gas shift reaction may not happen in the Earth's upper mantle, and formic acid or formate may be an important carbon carrier in reducing environments, participating in many geochemical processes in deep Earth.