Benefiting from the superior electron mobility and good air‐stability, the emerging layered bismuth oxyselenide (Bi2O2Se) nanosheet has received considerable attention with the promising prospects for electronics and optoelectronics applications. However, the high charge carrier concentration and bolometric effect of Bi2O2Se give rise to the high dark current and relatively slow photoresponse, which severely impede further improvement of the performance of Bi2O2Se based photodetectors. Here, a WSe2/Bi2O2Se Van der Waals p‐n heterostructure is reported with a pronounced rectification ratio of 105 and a low reverse dark current of 10−11 A, as well as an enhanced light on/off ratio up to 618 under 532 nm light illumination. The device also exhibits a fast response speed of 2.6 µs and a broadband detection capability from 365 to 2000 nm due to the efficient charge separation and strong interlayer coupling at the interface of the two flakes. Importantly, the built‐in potential in the WSe2/Bi2O2Se heterostructure offers a competitive self‐powered photodetector with the light on/off ratio above 105 and a photovoltaic responsivity of 284 mA W−1. The WSe2/Bi2O2Se heterostructure shows promising potentials for high‐performance self‐driven photodetector applications.