One of the basic challenges of CO₂ photoreduction is to develop efficient photocatalysts. As an effective strategy, constructing heterostructure photocatalysts with intimate interfaces can enhance interfacial charge transfer for realizing high photocatalytic activity. Herein, a novel photocatalytic material, Bi₄O₅Br₂/CeO₂ composite fiber (B@C-x, x refers to the amount of reactant), was constructed by embeding CeO₂ nanofibers on Bi₄O₅Br₂ nanosheets via an electrospinning combined with hydrothermal method. Its composition, morphology and photoelectric properties were characterized. The results show that Bi₄O₅Br₂/CeO₂ heterojunction with appropriate Bi₄O₅Br₂ content can significantly improve the photocatalytic performance of CeO₂ nanofibers. Compared with pure Bi₄O₅Br₂ and CeO₂, B@C-2 exhibited the best photocatalytic activity under simulated sunlight. The Bi₄O₅Br₂/CeO₂ exhibited improved photocatalytic CO₂ reduction performance with a CO generation rate of 8.26 μmol·h^-1·g^-1 without using any sacrificial agents or noble co-catalysts. This can be attributed to the tight interfacial bonding between Bi₄O₅Br₂ and CeO₂ and the formation of S-scheme heterojunction, which enables the efficient spatial separation and transfer of photogenerated carriers. This work provides a simple and efficient method for directional synthesis of Bi-based photocatalytic composites with S-scheme heterojunction and illustrates an applicable tactic to develop potent photocatalysts for clean energy conversion.