Photo-/electrochemical water splitting can be a suitable method to produce “green” hydrogen and oxygen by utilizing renewable energy or even direct sunlight. In order to carry out photoelectrochemical (PEC) water splitting, a photoanode based on transition metal oxides, which absorbs photons and produces photoexcited electron–hole pairs, is needed. The positively charged holes can then participate in the water oxidation reaction. Meanwhile, a cathodic hydrogen evolution reaction (HER) can occur more efficiently with electrocatalytic materials that enhance the adsorption of H⁺, such as MoS₂. In this study, it was shown that WO₃/MoS_x heterostructured materials can be synthesized by an electrochemical method called plasma electrolytic oxidation (PEO). During this process, many micro-breakdowns of the oxide layer occur, causing ionization of the oxide and electrolyte. The ionized mixture then cools and solidifies, resulting in crystalline WO₃ with incorporated MoS_x. The surface and cross-sectional morphology were characterized by SEM-FIB, and the coatings could reach up to 3.48 μm thickness. Inclusion of MoS_x was confirmed by EDX as well as XPS. Synthesis conditions were found to have an influence on the band gap, with the lowest value being 2.38 eV. Scanning electrochemical microscopy was used to map the local HER activity and correlate the activity hotspots to MoS_x’s content and surface topography. The bifunctional catalyst based on a WO₃/MoS_x heterostructure was evaluated for PEC and HER water-splitting activities. As a photoanode, it could reach up to 6% photon conversion efficiency. For HER in acidic media, a Tafel slope of 42.6 mV·dec⁻¹ can be reached.