Metal halide perovskite (MHP) nanocrystals (NCs) have shown promising application in photocatalytic CO2 reduction, but their activities are still largely restrained by severe charge recombination and narrow solar spectrum response. Assembly of heterojunctions can be beneficial to the charge separation in MHPs while the assembly process usually brings native interfacial defects, impeding efficient charge separation between two materials. Herein, an in‐situ generation strategy was developed to prepare CsPbBr3/WO3 heterojunction, using WO3 nanosheets (NSs) as growing substrate for the growth of CsPbBr3 NCs. The developed CsPbBr3/WO3 heterojunction exhibited a high‐quality interface, greatly facilitating charge transfer between two semiconductors. The hybrid photocatalyst displayed an excellent activity toward CO2 reduction, which was about 7‐fold higher than pristine CsPbBr3 NCs and 3.5‐fold higher than their assembled counterparts. The experimental results and theoretical simulations revealed that a Z‐scheme mechanism with a favorable internal electric field was responsible for the good performance of CsPbBr3/WO3 heterojunction. By using O‐defective WO3 NSs as a near‐infrared (NIR) light absorber, the CsPbBr3/WO3 heterojunction could harvest NIR light and showed an impressive activity toward CO2 reduction. This work demonstrates a new strategy to design MHP‐based heterojunctions by synergistically considering the interface quality, charge transfer mode, interfacial electric field, and light response range between two semiconductors.