Reviewing the water splitting from TiO₂ nanotubes, photocatalysis under visible-light irradiation has been considered an effective and promising approach for sustainable green energy production and organic matter degradation. However, owing to high recombination rates of photoelectron–hole pairs, low electron mobility, and poor conductivity, traditional photocatalysts have faced major challenges, including low photoelectric conversion efficiency and poor repeatability. One-dimensional iron-based nanotubes (α-Fe₂O₃ nanotube arrays (NTAs)) effectively address these problems because of their narrow 2.1 eV band gap, rapid response to visible light, and over 40% solar-light utilization efficiency. Accordingly, double-walled α-Fe₂O₃ NTAs were innovatively fabricated by anodizing an Fe substrate, shortening the electron transport distance to accelerate photoelectron–hole separation and migration. The effects of preformed oxide layers and anodizing processes on the characteristics of α-Fe₂O₃ NTAs were systematically clarified. Results showed that highly ordered α-Fe₂O₃ NTAs were obtained from an NH₄F–H₂O–ethylene glycol bath, with a shell diameter of ~45 nm and a length of ~3.5 μm. Compared with single-step annealing in air (NTAs-air), two-step annealing in air–Ar (NTAs-air-Ar) improved the crystallinity of the α-Fe₂O₃ NTAs. Transient photocurrent tests at 1.6 V versus the reversible hydrogen electrode revealed a peak current density of 0.4 mA/cm² for NTAs-air-Ar, nearly three times that of NTAs-air, primarily because the confined NTA channels reduced the carrier migration distance and promoted directional photoelectron transport. To address the poor conductivity of α-Fe₂O₃ NTAs, an in situ Pd-doped Fe₂O₃/Fe₃O₄ heterojunction was further constructed. Meanwhile, Pd nanoparticles introduced from a PdCl₂ bath promoted adsorption onto the α-Fe₂O₃ NTAs, forming a core–tube heterojunction that provided more catalytically active sites. The optimized sample, prepared with 0.15 mol/L NH₄F and immersed in PdCl₂ solution for 3 min, was designated 0.15/NTAs-Pd/3 and exhibited the highest peak current density of 0.93 mA/cm², approximately 1.3 times higher than that of the Pd-free sample. The Pd-inlaid Fe₂O₃/Fe₃O₄ heterojunction enhanced the photocatalytic degradation of methylene blue dye via first-order reaction kinetics. The optimized 0.15/NTAs-Pd/3 sample achieved a photodegradation rate of 83.5% and maintained above 78.5% after four stabilization cycles, indicating high photocatalytic activity and reusability.