Constructing heterostructure is a promising strategy to enhance photocatalytic performance. Here, a cyano and carbon dots/polypyrrole (CDs/PPy) co‐modified carbon nitride (CPKCN) heterostructure is constructed for photocatalytic H2O2 generation. It is interestingly found that the intermediates formed during the oxidation polymerization of pyrrole can be the potential electron trapping sites and reactive sites. In addition, the localized photoheat produced by CDs/PPy also plays an active role in improving photocatalytic activity. Moreover, the addition of CDs/PPy leads to a higher negative zeta potential of CPKCN, which is favorable for the attraction of the sample surface to H+. These features, plus the positive effect of cyano groups, collectively boost the charge transfer and improve the selectivity of two‐electron O2 reduction. Therefore, the enhanced photocatalytic H2O2 generation performance of the developed CPKCN is achieved, with an H2O2 generation rate of 3.7 mmol g−1 h−1 under visible light in a 10 vol% isopropanol (IPA) aqueous solution, and with the apparent quantum yield of 16.7% at 420 nm and the solar‐to‐chemical conversion efficiency of 0.34%. The work offers new insights into developing efficient photocatalysts for various applications.