We report on the fabrication and characterization of an oxide photoanode with a zinc oxide (ZnO) nanorod array embedded in cuprous oxide (Cu2O) thin film, namely a ZnO/Cu2O oxide p-n heterostructure photoanode, for enhanced efficiency of visible light driven photoelectrochemical (PEC) water splitting. A vertically oriented n-type ZnO nanorod array is first prepared on an indium-tin-oxide-coated glass substrate via a seed-mediated hydrothermal synthesis method and then a p-type Cu2O thin film is directly electrodeposited onto the vertically oriented ZnO nanorod array to form an oxide p-n heterostructure. The introduction of Cu2O layer produces a noticeable enhancement in the visible light absorption. From the observed PEC current density versus voltage (J-V) behavior under visible light illumination, the photoconversion efficiency of this ZnO/Cu2O p-n heterostructure photoanode is found to reach 0.39 %, which is seven times that of a pristine ZnO nanorod photoanode. In particular, a significant PEC performance is observed even at an applied bias of 0 V vs Hg/Hg2Cl2, which makes the device self-powered. The observed improvement in the PEC performance is attributed to some synergistic effect of the pn bilayer heterostructure on the formation of a built-in potential including the light absorption and separation processes of photoinduced charge carriers, which provides a new avenue for preparing efficient photoanodes for PEC water splitting.