A new type of wood-plastic/lumber composite (WPLC) was fabricated with laminated veneer lumber as a core, and the traditional wood-plastic composite (WPC) as a shell layer using multi-phase co-extrusion technology. This WPLC was used to manufacture a window frame, and the effects of inorganic pigments (carbon black (CB), titanium dioxide (TiO2), and their mixtures) on the decorative effect and ultraviolet (UV) weathering performance of the shell layer of the window frame were investigated. Weathering variables included UV irradiation duration and water spraying cycles for up to 6000 h. The surface color was analyzed by spectrophotometry during weathering. In addition, a scanning electron microscopy analysis and Fourier transform infrared spectroscopy analyzed the weathering properties of the WPLC shell layer. The results showed that (1) different decorative effects (white, grey, and black color) of the window frames were achieved by incorporating CB, TiO2, and their mixture; (2) the composites incorporated with CB and/or TiO2 exhibited less discoloration and fewer surface cracks; (3) the composites with CB and TiO2 showed a better photo-stability than those with a UV stabilizer (UV326). The overall color change (△E) of the composites incorporated with UV326, TiO2, and CB was 20.0, 11.7, and 10.8, respectively, after 3000 h of weathering; and (4) a combination of CB and TiO2 showed a synergistic effect on alleviating the photo-oxidation process of the WPC shell layers, which confirmed its UV-shielding effect.