Photoelectrochemical (PEC) conversion of methane (CH4) to high-value-added liquid products has been regarded as an eco-friendly and sustainable strategy for the utilization of natural gas but remains challenging in terms of high yield and selectivity for diatomic carbon (C2) products. Herein, we report a facile oxalic acid reduction strategy to synthesize ultrathin tungsten oxide (WO3) nanosheets (NSs) with controllable oxygen vacancies (Ov) as photoanodes for efficient PEC CH4 conversion to ethanol. As a result, the ultrathin WO3 NSs photoanode shows a superior PEC CH4 conversion efficiency with a high ethanol production rate and Faraday efficiency of 98.9 mmol/g/h and 63.6% under a low applied positive potential of 0.9 V vs. reversible hydrogen electrode (RHE) during 4 h. Incident photon-to-current efficiency of 23.2% is achieved at 365 nm. The reaction path and catalytic mechanism of CH4→CH3→CH3OH→CH2OH→CH3CH2OH are studied by in-situ Fourier-transform infrared spectroscopy (FTIR), electron spin resonance spectroscopy (ESR), and density functional theory (DFT) simulation. The results indicate that in-situ-formed OOH is the main reactive oxygen species during CH4 conversion, and Ov significantly lowers the reaction energy of the rate-determinate elemental step.