Construction of vertical heterostructures by stacking two‐dimensional (2D) layered materials via chemical bonds can be an effective strategy to explore advanced solar‐energy‐conversion systems. However, it remains a great challenge to fabricate such heterostructures based on conversional oxide‐based compounds, as they either do not possess a 2D layered structure or are not suitable for epitaxial growth due to large lattice mismatch. Here, a vertical heterostructure of bismuth oxyhalide semiconductors fabricated through a heteroepitaxial anion exchange method is reported. Monolayer Bi2WO6 is epitaxially grown on the exposed surface of BiOI to inhibit photocorrosion and introduce active sites. Theoretical and experimental results reveal that electrons generated under visible‐light irradiation can directly transfer to surface coordinatively unsaturated (CUS) Bi atoms, which contribute to the adsorption and activation of reactant molecules. As a result, the Bi2WO6/BiOI vertical heterostructures exhibit significantly enhanced visible‐light‐driven NO oxidation activity compared with BiOI and Bi2WO6.