Fabricating a two-dimensional (2D) van der Waals heterostructure is an efficient strategy to improve the photoelectric performance of 2D materials, thus providing a new possibility for the photoanode material design in photoelectrochemistry (PEC) devices. Herein, transition metal dichalcogenide (TMD) MoS2/WSe2 heterojunction photoelectrodes are prepared via liquid-phase exfoliation and vacuum filtration. Linear sweep voltammetry, transient photocurrent, and open circuit potential measurements show that the heterojunction photoelectrodes have enhanced photocurrent intensity and improved photoresponse activity. Moreover, Nyquist impedance plots, Bode phase plots, and Mott-Schottky measurements demonstrate that the heterojunction samples have higher charge transfer rate and longer charge lifetime than MoS2 and WSe2. To reveal the mechanisms, the band alignment of MoS2/WSe2 heterojunction samples is established with the support of X-ray photoelectron spectroscopy and first-principles theory calculation. Accordingly, the improved PEC performance of the heterojunction photoanode is ascribed to the built-in electric field between MoS2 and WSe2 nanosheets, which promotes the photogenerated e-h pair separation and suppresses their recombination. This work verifies the PEC mechanism of MoS2/WSe2 heterojunction photoelectrodes, which is significant for the design of PEC devices based on TMD heterostructures.