Multigraded heterojunction (GHJ) attracts increasing attention in solar energy conversion fields due to the controllable carrier transport process. However, it is hard to coordinately manipulate the components and band structure of the photoelectrochemical (PEC) catalyst. Despite the adjustable composition of the metal‐organic framework (MOF), energy band‐engineered MOF materials are rarely used in PEC systems subject to their unclear energy band structure. Herein, a brand new photoanode architecture with MOF‐based multi‐GHJ as the hole extraction channel exhibits outstanding PEC water oxidation performance. ZIF‐CoxZn1−x multi‐GHJs with continuously adjustable energy band structures are obtained by tailoring Co/Zn ratio. ZIF‐CoxZn1−x multi‐GHJ‐modified Co3O4/TiO2 photoanodes (ZIF‐CoxZn1−x/Co3O4/TiO2) exhibit a greatly facilitated carrier separation. ZIF‐Co further causes improved interfacial carrier injection as the water oxidation cocatalyst. By constructing the network‐like Co3O4 skeleton, mass transport and light capture processes are also enhanced. With the synergy of energy band engineering and nanostructure design, the 4‐grade GHJ/Co3O4/TiO2 photoanode shows an excellent photocurrent density (2.91 mA cm−2 at 1.23 V vs. reversible hydrogen electrode) and carrier migration efficiency (73.3%), which are 312% and 554% higher than intrinsic TiO2, respectively. Herein, new insights into energy band‐engineered MOF materials with excellent carrier separation/extraction, which is promising for PEC and other optoelectronic applications, are provided.