Flexibly and controllably regulating the functionality of the core–shell system is still challenging, which is largely determined by the shell thickness and core–shell interface. Here, elaborately designed core–shell dual MOFs were constructed via in-situ growth of Cu-HHTP (HHTP = 2,3,6,7,10,11-hexahydroxytriphenylene) shell with adjustable thicknesses over CuFe Prussian blue analogue (PBA). The thin-shell CuFe PBA@Cu-HHTP heterojunction (CFH-1) improves charge separation and transfer compared to CuFe PBA and thick-shell heterojunction. Density functional theory results indicate the efficient regulation of electron density near Cu site via constructing heterojunction. The photocatalytic CO2-to-CO activity of CFH-1 is improved (29.3 μmol·g−1) by ∼ 14 times than pristine CuFe PBA. This study provides information on charge separation at the core–shell structure interface to achieve efficient photocatalytic CO2 conversion.