Graphdiyne (GDY) is a novel two‐dimensional material composed of sp and sp2 hybridized carbon atoms. Herein, GDY nanosheets are prepared from tribromobenzene by a simple ball‐milling‐assisted reduction–elimination method and is introduced into Fe3O4 colloidal spheres and Co3O4 cubes by low‐temperature mixing to efficiently synthesize Fe3O4/Co3O4/GDY tandem heterojunction photocatalysts. The hydrogen evolution activity of the optimized catalyst is 4.02 mmol g−1 h−1 under visible light (λ ≥ 420 nm), which is 100.05, 10.05, and 3.65 times higher than that of Fe3O4 (0.04 mmol g−1 h−1), Co3O4 (0.40 mmol g−1 h−1), and GDY (1.10 mmol g−1 h−1), respectively. In addition, the Prussian blue analog (PBA)‐derived Co3O4 improves the light‐harvesting efficiency and reaction kinetics. More importantly, the establishment of tandem heterojunctions prompts energy‐level alignment and optimizes charge multichannel transfer, which is the dominant factor for enhanced photocatalytic activity. Combined with time‐resolved photoluminescence spectra, valence band X‐Ray photoelectron spectroscopy, ultraviolet photoelectron spectroscopy, and density functional theory calculations, the possible mechanism of Fe3O4/Co3O4/GDY series heterojunction is proposed and elucidated. This work provides a new idea for the construction of tandem heterojunctions based on graphdiyne and PBA derivatives.