Defective TiO2–x and WO3–y were successfully synthesized by a chemical reduction method, and then they were subsequently combined to construct a heterojunction. The results of the photoelectrochemical test and spectral characterization indicated that the synergistic effect of defects and the heterojunction promotes the separation and transmission of photogenerated charge carriers. In addition, the selectivity of photocatalytic carbon dioxide reduction products of semiconductors has been improved remarkably by loading a co-catalyst. When 0.8% Pd was loaded on WO3–y /TiO2–x as the co-catalyst, the photocatalytic CH4 yield reached 3.34 μmol g–1 h–1 and the product selectivity increased up to 100%. Meanwhile, the internal mechanism of photogenerated charge transfer in semiconductors and the conversion path of photocatalytic carbon dioxide reduction have been revealed by in situ Fourier transform infrared spectroscopy. This work provides a novel and effective multifactor collaborative strategy to fabricate a photocatalytic carbon dioxide reduction composite catalyst with high CH4 selectivity.