The CuO@CuFe2O4 core–shell structure represents a new family of photocatalysts that can be used as photoelectrodes that are able to produce hydrogen under a broad spectrum of visible light. Herein, we report a novel approach for the production of this active film by the thermal conversion of CuFe Prussian Blue Analogues. The outstanding photoelectrochemical properties of the photocathodes of CuO@CuFe2O4 were studied with the use of combinatory photo-electrochemical instrumental techniques which proved that the electrodes were stable over the whole water photolysis run under relatively positive potentials. Their outstanding performance was explained by the coupling of two charge transfer mechanisms occurring in core–shell architectures.