Reasonably designing and optimizing the structure of photocatalysts aims to effectively enhance light absorption, accelerate charge separation and transfer, and achieve sustainable photocatalytic hydrogen production. In this study, a simple self-assembly method was used to prepare the GDY/CeO2/Mn0.2Cd0.8S ternary system. The addition of GDY and CeO2 significantly enhances the light absorption range of Mn0.2Cd0.8S, enhancing the separation and transmission of electron hole pairs and provides more active sites for hydrogen production. Moreover, an S-scheme heterojunction was constructed between the three catalysts, maximizing their oxidation–reduction ability. In addition, the built-in electric field formed between the catalysts also provides power for electron transfer, ensuring efficient and orderly reaction. This work provides ideas for the rational construction of heterojunctions, improving charge transfer, and designing high-performance catalysts to solve energy problems.