Encapsulating photogenerated charge‐hopping nodes and space transport bridges within metal–organic frameworks (MOFs) is a promising method of boosting the photocatalytic performance. Herein, this work embeds electron transfer media (9,10‐bis(4‐pyridyl)anthracene (BPAN)) in MOF cavities to build multi‐level electron transfer paths. The MOF cavities are accurately regulated to investigate the significance of the multi‐level electron transfer paths in the process of CO2 photoreduction by evaluating the difference in the number of guest media. The prepared MOFs, {[Co(BPAN)(1,4‐dicarboxybenzene)(H2O)2]·BPAN·2H2O} and {[Co(BPAN)2(4,4′‐biphenyldicarboxylic acid)2(H2O)2]·2BPAN·2H2O} (denoted as BPAN‐Co‐1 and BPAN‐Co‐2), exhibit efficient visible‐light‐driven CO2 conversion properties. The CO photoreduction efficacy of BPAN‐Co‐2 (5598 µmol g−1 h−1) is superior to that of most reported MOF‐based catalysts. In addition, the enhanced CO2 photoreduction ability is supported by density functional theory (DFT). This work illustrates the feasibility of realizing charge separation characteristics in MOF catalysts at the molecular level, and provides new insight for designing high‐performance MOFs for artificial photosynthesis.