Direct photoelectrochemical (PEC) water splitting is of prime importance in sustainable energy conversion systems; however, it is a big challenge to simultaneously control light harvesting and charge transport for the improvement of PEC performance. Herein, we report a three-dimensional ordered macroporous (3DOM) CsTaWO6-xNx inverse opal array as a promising candidate for the first time. To address the critical challenge, an ultrathin carbon-nitride-based layer-intercalated 3DOM CsTaWO6-xNx architecture as a conformal heterojunction photoanode was assembled. This state-of-the-art conformal heterojunction photoanode with carrier-separation efficiency up to 88% achieves a high current density of 4.59 mA cm-2 at 1.6 V versus a reversible hydrogen electrode (vs RHE) under simulated AM 1.5G illumination, which is approximately 3.4 and 17 times larger than that of pristine CsTaWO6-xNx inverse opals and powers photoelectrodes in alkaline media, corresponding to an incident photon-to-current efficiency of 32% at 400 nm and outstanding stability for PEC water splitting. Density functional theory calculations propose that the intimate interface of a conformal photoanode optimizes the charge separation and transfer, thus enhancing the intrinsic water oxidation performance. This work enables us to elucidate the pivotal importance of 3DOM architectures and conformal heterostructures and the promising contributions to excellent PEC water-splitting applications.