All-inorganic heterostructures have attracted intense interest for new energy and environmental applications recently, especially in photoelectronic devices. Herein, we firstly obtain a novel CoIn₂S₄ thiospinel octahedron through a simple one-step hydrothermal synthesis method. On this basis we further propose a strategy to prepare all-inorganic heterostructures (NH₄)₄Co^II[Co^IIW₁₂O₄₀]·20H₂O/CoIn₂S₄ (CoW₁₂-n/CoIn₂S₄, where n represents the molar number of CoW₁₂) through doping Keggin-type polyoxometalates (POMs). The addition of POMs can alleviate the cross-growth of the CoIn₂S₄ octahedron and increase the specific surface area and the number of exposed active sites of the heterostructures. What's more, we investigate the electrocatalytic triiodide reduction properties of the heterostructures. Electrochemical measurements show that POM contents have an obvious influence on the catalytic activity of this heterostructure catalyst. The CoW₁₂-0.3/CoIn₂S₄ heterostructures present the best catalytic performance and the lowest charge transfer resistance. Consequently, the dye-sensitized solar cells (DSSCs) with CoW₁₂-0.3/CoIn₂S₄ heterostructures as a counter electrode (CE) show the highest photovoltaic conversion efficiency (PCE) of up to 6.79%, superior to that of the Pt CE (5.83%). This work not only provides an approach for designing composites for efficient electrocatalytic triiodide reduction, but also represents a further step towards the application of all-inorganic heterostructures in photoelectronic devices.