The carrier selection for photocatalytic materials is critical for photocatalytic degradation technology. In this study, blast furnace slag fibre (BFSF) prepared using metallurgical waste was employed as a carrier for TiO2. The photocatalytic activity of the resulting TiO2/BFSF composite and its influencing factors during the sol-gel process was systematically investigated via TG-DTA, XRD, SEM-EDS, BET, UV–Vis absorption spectroscopy, degradation of methylene blue (MB) experiments, and mass loss technology. The results showed that the crystal phase of TiO2 transformed from pure anatase to a mixture of anatase and rutile and then to pure rutile as the calcination temperature increased from 350 °C to 800 °C. When the number of TiO2 loading cycles increased from 1 to 6, the TiO2 film changed from thin to thick and from uneven to uniform, until cracking and spalling finally occurred. When the number of TiO2 loading cycles and calcination temperatures increased, the photocatalytic activity increased and then decreased. After loading TiO2 sol four times and calcining at 450 °C for 2.5 h, a uniform and dense anatase TiO2 film was observed to be wrapped on the BFSF, achieving the highest photocatalytic activity and a maximum degradation ratio of 95.3%. The TiO2/BFSF composite showed excellent reusability. After four reuse cycles, the degradation ratio remained at 66.2%. Three potential mechanisms were proposed for photocatalytic degradation. The water and alkali resistance of BFSF markedly increased after the TiO2 thin film was loaded. This study therefore provides strategies to improve the photocatalytic activity of TiO2 and expands the high-value-added application of BFSF.