The construction of heterojunctions is considered as an effective strategy to boost catalytic degradation activity of photo-Fenton catalyst. Herein, a series of CdS@CuS/g-C3N4 (CC-x/CN) heterojunctions have been successfully prepared by hydrothermal and cation exchange process, which have been applied for the removal of methyl orange (MO) via photo-Fenton process. The results demonstrate that the exchange of Cu2+ for Cd2+ on g-C3N4 could inhibit the aggregation of CdS@CuS and increase the light absorption range and the active sites. Under visible light illumination, CC-10/CN (molar ratio of CuS to CdS is 10%) exhibits the optimal photo-Fenton-like catalytic performance with the degradation efficiency of 96% towards MO (40 mg L−1) and the total organic carbon removal rate of 75% within 35 min illumination. The apparent reaction rate constant of CC-10/CN (0.088 min−1) is approximately 22 and 6.29 times higher than those of pure g-C3N4 and CdS@CuS (molar ratio of CuS to CdS is 10%), respectively. The enhanced photo-Fenton catalytic activity of CC-x/CN is mainly ascribed to the formation of the photo-Fenton effect between CC-10 and g-C3N4, which promotes the conversion and recycling of Cu2+ and Cu+. Meanwhile, the successful formation of the heterojunctions reduces the recombination rate of carriers. In addition, the cycling experiments demonstrate that CC-10/CN possesses favorable stability and recoverability. Overall, the well-designed CC-x/CN heterojunctions reveal desirable potential application in the effective treatment of sewage via photo-Fenton process.