Poly(3,4-ethylenedioxythiophene)/zinc oxide (PEDOT/ZnO) nanocomposites were prepared by a simple solid-state heating method, in which the content of ZnO was varied from 10 to 20 wt%. The structure and morphology of the composites were characterized by Fourier transform infrared (FTIR) spectroscopy, ultraviolet-visible (UV-vis) absorption spectroscopy, X-ray diffraction (XRD), and transmission electron microscopy (TEM). The photocatalytic activities of the composites were investigated by the degradation of methylene blue (MB) dye in aqueous medium under UV light and natural sunlight irradiation. The FTIR, UV-vis, and XRD results showed that the composites were successfully synthesized, and there was a strong interaction between PEDOT and nano-ZnO. The TEM results suggested that the composites were a mixture of shale-like PEDOT and less aggregated nano-ZnO. The photocatalytic activity results indicated that the incorporation of ZnO nanoparticles in composites can enhance the photocatalytic efficiency of the composites under both UV light and natural sunlight irradiation, and the highest photocatalytic efficiency under UV light (98.7%) and natural sunlight (96.6%) after 5 h occurred in the PEDOT/15wt%ZnO nanocomposite.