The current rapid industrial development causes the serious energy and environmental crises. Photocatalyts provide a potential strategy to solve these problems because these materials not only can directly convert solar energy into usable or storable energy resources but also can decompose organic pollutants under solar‐light irradiation. However, the aforementioned applications require photocatalysts with a wide absorption range, long‐term stability, high charge‐separation efficiency and strong redox ability. Unfortunately, it is often difficult for a single‐component photocatalyst to simultaneously fulfill all these requirements. The artificial heterogeneous Z‐scheme photocatalytic systems, mimicking the natural photosynthesis process, overcome the drawbacks of single‐component photocatalysts and satisfy those aforementioned requirements. Such multi‐task systems have been extensively investigated in the past decade. Especially, the all‐solid‐state Z‐scheme photocatalytic systems without redox pair have been widely used in the water splitting, solar cells, degradation of pollutants and CO2 conversion, which have a huge potential to solve the current energy and environmental crises facing the modern industrial development. Thus, this review gives a concise overview of the all‐solid‐state Z‐scheme photocatalytic systems, including their composition, construction, optimization and applications.