We developed a novel ZnO/CuO heterogeneous structure for photoelectrochemical (PEC) cells, which was fabricated with CuO attached onto ZnO nanorod (NR) arrays by an electrochemical deposition method. CuO as a p-type and narrow band-gap sensitizer can make the n-type ZnO respond to visible light and promote the separation of photogenerated charge carriers by building a p-n heterogeneous structure. The photoelectric conversion and photocatalytic formaldehyde oxidation of ZnO/CuO were investigated in detail under simulated sunlight (AM 1.5) in comparison with single ZnO NRs and CuO film. In addition, the energy level diagram of the p-n heterogeneous interface was revealed according to a theoretical analysis on the basis of the flat band potential results.