A series of ZnFe2O4/TiO2 heterostructure photocatalysts with different mass percentages of ZnFe2O4 were synthesized through hydrothermal deposition method. The photocatalysts were characterized by SEM, TEM, XRD, XPS, and UV-vis DRS techniques. It is observed that ZnFe2O4 nanoparticles grew on the TiO2 nanobelts, and the obtained nanocomposites have ordered nanobelt structure with a high crystallinity. The photocatalytic activities of the nanocomposites were tested by photocatalytic reduction of CO2 in cyclohexanol under UV light (main wave length at 360nm) irradiation. The experimental results showed that the main products were cyclohexanone (CH) and cyclohexyl formate (CF). Compared with pure TiO2 and ZnFe2O4 samples, the obtained ZnFe2O4/TiO2 nanocomposites showed much higher photocatalytic performance. The loading amount of ZnFe2O4 was an important factor affecting the generation yields of the products. When the loading amount of ZnFe2O4 reached 9.78%, the ZnFe2O4/TiO2 heterostructure sample displayed the highest activity. The Z-scheme system reaction mechanism was proposed to explain the photocatalytic activity of the ZnFe2O4/TiO2 heterostructure sample.