The construction of efficient photocatalysts with strong response to sunlight is crucial for clean and sustainable pollutant degradation and environmental remediation. Herein, a novel MOF-on-MOF structural photocatalyst named HKU@MIL with Z-scheme heterojunction was successfully designed. The light response of the composites effectively extends to the whole solar spectrum through a simple activation process, addressing the issue of the low utilization of sunlight by photocatalysts. The photocatalytic degradation rate of methyl mercaptan by activated HKU@MIL is 2.2, 3.2, and 1.8 times higher than that of NH2-MIL-125, HKUST-1, and HKU/MIL-5 (physical mixtures), respectively. Under simulated sunlight irradiation, the rate constant increases to 0.507 min−1, which is 1.4 times higher than that under visible light. Additionally, the composites exhibit good photocatalytic performance when irradiated with near-infrared light alone. The heterojunction type of the photocatalyst was investigated according to in-depth analysis of X-ray photoelectron spectroscopy. Additionally, the interfacial charge transmission mode of the composites and the probable pathways for methyl mercaptan degradation were explored through band structure analysis, radical quenching tests and electron spin resonance analysis. The improved photocatalytic performance of activated HKU@MIL can be attributed to the full solar spectral response and the successful creation of the Z-scheme electron migration channel, which serves to reinforces the electron pump effect. It achieves this by improving the transmission of photogenerated carriers and ensuring the strongest redox potential. This work presents a new perspective on enhancing the utilization of sunlight by photocatalysts and improving the photocatalytic performance of heterojunction photocatalysts used in environmental remediation.