Constructing MOF‐on‐MOF heterojunction with elaborate charge transfer mechanism and interface is a promising strategy for improving the photocatalytic properties of MOFs. Herein, a Step‐scheme (S‐scheme) MIL‐125‐NH2@CoFe Prussian blue analogue (PBA) heterojunction is reported for the first time. The MOF‐on‐MOF heterostructure exhibits a sandwich‐like morphology with hollow CoFe PBA nanocages selectively assembled on the top‐down surfaces of MIL‐125‐NH2 nanocakes. Experimental findings and theoretical simulation results reveal the formation of internal electric field via interfacial TiOCo bonds at the heterojunction, providing driving force and atomic transportation highway for accelerating the S‐scheme charge transfer and enhancing the redox performance. Contributed further by the hollow sandwich‐like structures with increased active site exposure, the designed MOF‐on‐MOF heterojunction exhibits significantly enhanced photocatalytic activity for degradation of various organic pollutants. This study provides insights toward the rational design of semiconducting MOF‐based heterojunctions with improved properties. A S‐scheme MOF‐on‐MOF heterojunction with well‐defined TiOCo bonded interface and internal electric field is constructed with enhanced photocatalytic activity.