Hematite (α-Fe2O3)/graphitic carbon nitride (g-C3N4) nanofilm catalysts were synthesized on fluorine-doped tin oxide glass by hydrothermal and chemical vapor deposition. Scanning electron microscopy, energy-dispersive spectroscopy, X-ray diffraction, and X-ray photoelectron spectroscopy analyses of the synthesized catalyst showed that the nanoparticles of g-C3N4 were successfully deposited on α-Fe2O3 nanofilm. The methylene blue degradation efficiency of the α-Fe2O3/g-C3N4 composite catalyst was 2.6 times greater than that of the α-Fe2O3 single catalyst under ultraviolet (UV) irradiation. The methylene blue degradation rate by the α-Fe2O3/g-C3N4 catalyst increased by 6.5 times after 1 mM of hydrogen peroxide (H2O2) was added. The photo-Fenton reaction of the catalyst, UV, and H2O2 greatly increased the methylene blue degradation. The results from the scavenger experiment indicated that the main reactants in the methylene blue decomposition reaction are superoxide radicals photocatalytically generated by g-C3N4 and hydroxyl radicals generated by the photo-Fenton reaction. The α-Fe2O3/g-C3N4 nanofilm showed excellent reaction rate constants at pH 3 (Ka = 6.13 × 10−2 min−1), and still better efficiency at pH 7 (Ka = 3.67 × 10−2 min−1), compared to other methylene blue degradation catalysts. As an immobilized photo-Fenton catalyst without iron sludge formation, nanostructured α-Fe2O3/g-C3N4 are advantageous for process design compared to particle-type catalysts.