Thin layers of bismuth vanadate were deposited using the pulsed laser deposition technique on commercially available FTO (fluorine-doped tin oxide) substrates. Films were sputtered from a sintered, monoclinic BiVO4 pellet, acting as the target, under various oxygen pressures (from 0.1 to 2 mbar), while the laser beam was perpendicular to the target surface and parallel to the FTO substrate. The oxygen pressure strongly affects the morphology and the composition of films observed as a Bi:V ratio gradient along the layer deposited on the substrate. Despite BiVO4, two other phases were detected using XRD (X-ray diffraction) and Raman spectroscopy—V2O5 and Bi4V2O11. The V-rich region of the samples deposited under low and intermediate oxygen pressures was covered by V2O5 longitudinal structures protruding from BiVO4 film. Higher oxygen pressure leads to the formation of Bi4V2O11@BiVO4 bulk heterojunction. The presented results suggest that the ablation of the target leads to the plasma formation, where Bi and V containing ions can be spatially separated due to the interactions with oxygen molecules. In order to study the phenomenon more thoroughly, laser-induced breakdown spectroscopy measurements were performed. Then, obtained electrodes were used as photoanodes for photoelectrochemical water splitting. The highest photocurrent was achieved for films deposited under 1 mbar O2 pressure and reached 1 mA cm−2 at about 0.8 V vs Ag/AgCl (3 M KCl). It was shown that V2O5 on the top of BiVO4 decreases its photoactivity, while the presence of a bulk Bi4V2O11@BiVO4 heterojunction is beneficial in water photooxidation.