Conversion of syngas (CO, H2) to hydrocarbons, commonly known as the Fischer–Tropsch (FT) synthesis, represents a fundamental pillar in today's chemical industry and is typically carried out under technically demanding conditions (1–3 MPa, 300–400 °C). Photocatalysis using sunlight offers an alternative and potentially more sustainable approach for the transformation of small molecules (H2O, CO, CO2, N2, etc.) to high‐valuable products, including hydrocarbons. Herein, a novel series of Fe‐based heterostructured photocatalysts (Fe‐x) is successfully fabricated via H2 reduction of ZnFeAl‐layered double hydroxide (LDH) nanosheets at temperatures (x) in the range 300–650 °C. At a reduction temperature of 500 °C, the heterostructured photocatalyst formed (Fe‐500) consists of Fe0 and FeOx nanoparticles supported by ZnO and amorphous Al2O3. Fe‐500 demonstrates remarkable CO hydrogenation performance with very high initial selectivities toward hydrocarbons (89%) and especially light olefins (42%), and a very low selectivity towards CO2 (11%). The intimate and abundant interfacial contacts between metallic Fe0 and FeOx in the Fe‐500 photocatalyst underpins its outstanding photocatalytic performance. The photocatalytic production of high‐value light olefins with suppressed CO2 selectivity from CO hydrogenation is demonstrated here. Layered‐double‐hydroxide nanosheets are reduced in H2 at 300–650 °C to yield FeOx, Fe/FeOx, and FeZn alloy/FeOx structures supported on ZnO–Al2O3 with increasing reduction temperature. The heterostructured Fe/FeOx catalyst formed at 500 °C demonstrates outstanding photocatalytic performance for CO hydrogenation to high‐value light olefins with suppressed CO2 selectivity under visible‐light irradiation.