Time reversal symmetry breaking in superconductors, resulting from external magnetic fields or spontaneous magnetization, often leads to unconventional superconducting properties. In this way, an intrinsic phenomenon called the Fulde-Ferrell-Larkin-Ovchinnikov (FFLO) state may be realized by the Zeeman effect. Here, we construct the FFLO state in an artificial CrOCl/NbSe2 van der Waals (vdW) heterostructure by utilizing the superconducting proximity effect of NbSe2 flakes. The proximity-induced superconductivity demonstrates a considerably weak gap of about 0.12 meV, and the in-plane upper critical field reveals the behavior of the FFLO state. First-principles calculations uncover the origin of the proximitized superconductivity, which indicates the importance of Cr vacancies or line defects in CrOCl. Moreover, the FFLO state could be induced by the inherent large spin splitting in CrOCl. Our findings not only provide a practical scheme for constructing the FFLO state but also inspire the discovery of an exotic FFLO state in other two-dimensional vdW heterostructures.