Direct formic acid fuel cell (DFAFC) is an efficient power generation device, due to its high energy density, low fuel crossover and low emission. However, the anodic reaction of DFAFC, formic acid oxidation (FAOR), inevitably proceeds through an indirect pathway, adsorbing carbon monoxide intermediate (COads), resulting in a rapid decline of activity for FAOR. Therefore, effectively removing COads is the key to the development of DFAFC. In this work, Pd/CeO2 catalyst is synthesized by in situ growth of Pd nanoparticles on the hollow CeO2. Due to the difference of work function between Pd and CeO2, a built‐in electric field from Pd side to CeO2 side is formed, which induces a synergistic enhancement of the photogenerated carrier density and the local high hydroxyl concentration at the Pd/CeO2 interface, thus promoting the oxidative removal of COads and significantly improving the stability of FAOR. Therefore, in photo‐assisted electrocatalytic FAOR, Pd/CeO2 not only possessed high mass activity (4161.72 mA mg−1Pd), and its mass activity decreases by only 20.1% after 40000 s chronoamperometry test, which is superior to most Pd‐based catalysts. This work provides a new strategy for efficient removal of COads in FAOR through constructing built‐in electric fields, which promotes the DFAFC application.