Iron oxide nanostructures have emerged as promising materials for being used as photocatalysts for hydrogen production due to their advantageous properties. However, their low carrier mobility and short hole diffusion length limit their efficiency in water splitting. To overcome these drawbacks, in the present study, we synthetized a new hematite (α-Fe2O3) bi-layered nanostructure consisting of a top nanosphere layer and a nanotubular underneath one by electrochemical anodization. Annealing parameters such as temperature, heating rate and atmosphere were studied in detail in order to determine the optimum annealing conditions for the synthetized nanostructure. The obtained new bi-layered nanostructure was characterized by Field Emission Scanning Electron Microscopy, Raman Spectroscopy, Mott-Schottky analysis and Electrochemical Impedance Spectroscopy. The results show the best water splitting performance for the bi-layered nanostructure annealed in argon atmosphere at 500 °C at a heating rate of 15 °C min−1 achieving a photocurrent density of ~0.143 mA cm−2 at 1.54 V (vs. RHE). The results indicate that the bi-layered nanostructure is an efficient photocatalyst for applications such as water splitting.