The Z‐scheme heterojunction has great potential in photoelectrochemical (PEC) water splitting due to its unique charge‐carrier migration pathway, superior carrier separation efficiency, and high redox capacity, but how to regulate the Z‐scheme charge transfer at the nanometric interface of heterostructures still remains a big challenge. Herein, InOCd bond is rationally introduced at the interface between ZnIn2S4 nanosheets and CdS nanoparticles through a facile cation exchange reaction, which successfully converts the previously reported type II band structure to a direct Z‐scheme heterojunction (ZnIn2S4/CdS) as confirmed by various characterizations. Density functional theory calculation reveals that the InOCd interfacial chemical bond significantly uplifts the Fermi level of ZnIn2S4 and CdS, inverts the interfacial band bending direction, thus resulting in the formation of Z‐scheme heterojunction. Moreover, an amorphous ZnO overlayer is deposited to eliminate the surface defects and accelerate the surface reaction kinetics. Benefiting from the superior charge separation efficiency and high redox ability originating from the Z‐scheme structure, the optimum ZnIn2S4/CdS/ZnO photoanode exhibits a dramatically enhanced PEC performance with low onset potential (−0.03 V vs reversible hydrogen electrode, VRHE) and large photocurrent of 3.48 mA cm−2 at 1.23 VRHE, which is about 21.75 times that of pristine ZnIn2S4.