Due to their structural and property tunability, semiconductive conjugated polymers (CPs) have emerged as promising candidates for photocatalytic water splitting. Compared with inorganic materials, the photocatalytic performance of mono-component polymers was limited by the fast recombination of photoexcited charge carriers, and they always needed to catch up to expectations. To this end, researchers established molecular donor–acceptor heterostructures, which could notably promote oxygen production efficiency due to their more effective charge carrier separation. In this work, easy Schiff base reactions between side-chain -CHO groups and terminal -NH2 groups were used to introduce benzene and perylene diimide (PDI) into the molecular heterostructure to serve as electron donors (D) and electron acceptors (A). In particular, for the first time, we employed the molecular heterostructures of CPs to promote photocatalytic O2 production. One prepared molecular heterostructure was demonstrated to improve oxygen generation rate (up to 0.53 mmol g−1 h−1) through visible light-driven water splitting. Interestingly, based on the photoelectric properties, a stepwise two-electron/two-electron pathway constituted the photocatalytic mechanism for oxygen production with the molecular heterostructure. These results provide insights into designing and fabricating high-performance molecular heterostructures for photocatalytic oxygen production.