Advancement of photocatalytic systems that restricted formation and emission of toxic by-product NO2 remained a great challenge regarding NO removal. To circumvent this issue, in this study composites Bi4O5Br2/Bi2S3 were constructed through a facile anion exchange route that sulfurized pure Bi4O5Br2 (BB) in CS2 under room temperature. In-situ formed Bi2S3 (BS) was identified and intimately connected with BB to form n-p heterojunctions. Under visible light, n-p heterojunction composites BB-BS showed significantly improved NOx removal and selectivity for NO2−/NO3− comparing to BB, although photocatalytic removal over NO was almost identical. Specifically, NOx removal by the best candidate BB-BS60 was 1.5 times that of BB, while selectivity for NO2−/NO3− increased from 60% to 90%, causing extremely low formation of NO2. The generation of NO2−/NO3− was identified by FT-IR spectra and XPS analyses. The variation of photocatalytic performance and relevant selectivity was systemically discussed and mainly related to boosting generation of radicals OH and O2−, strengthened visible-light absorption, and well-matched band structures of both components in the Z-scheme mode. Eventually, these ultra-stable composites could be utilized for successive five runs and catalytic performance was well preserved without surface cleaning. This work might shed light on the construction of suitable photocatalytic systems with significant improvement of total NOx removal and avoidance of toxic by-product NO2 formation or emission.