Due to the high charge separation efficiency leading to high photocatalytic activity, there has been significant interest in enhancing the charge separation ability of photocatalysts by controlling the heterojunction structure. To investigate the effect of the heterojunction structure on the photocatalytic performance of composite catalysts and understand its corresponding mechanism, a Z-scheme ZnFeO/ZnO/CdS heterojunction was constructed using the ultrasound method and used for CO photoreduction. The Z-scheme heterojunction catalyst demonstrates elevated photocatalytic and charge separation efficiencies. Specifically, the conversion rate for the photocatalytic conversion of CO to CH reaches 105.9 μmol g h, surpassing that of the majority of previously reported semiconductor photocatalysts like ZnFeO/CdS. This research offers a fresh perspective on the development of innovative heterojunction photocatalysts and broadens the utilization of ternary composite materials in CO photoreduction.