Two-dimensional $\alpha$-In₂Se₃ exhibits simultaneous intercorrelated in-plane and out-of-plane polarization, making it a highly promising material for use in memories, synapses, sensors, detectors, and optoelectronic devices. With its narrow bandgap, $\alpha$-In₂Se₃ is particularly attractive for applications in photodetection. However, relatively little research has been conducted on the out-of-plane photoconductive and bulk photovoltaic effects in $\alpha$-In₂Se₃. This limits the potential of $\alpha$-In₂Se₃ in the device innovation and performance modification. Herein, we have developed an $\alpha$-In₂Se₃-based heterojunction with a transparent electrode of two-dimensional Ta₂NiS₅. The out-of-plane electric field can effectively separate the photo-generated electron–hole pairs in the heterojunction, resulting in an out-of-plane responsivity (R), external quantum efficiency (EQE), and specific detectivity ($D^{*}$) of 0.78$$mA/W, 10${}^{-3}$% and $1.14\times 10^8$ Jones, respectively. The out-of-plane bulk photovoltaic effect has been demonstrated by changes in the short circuit current (SCC) and open circuit voltage ($V_{\mathrm{\text{oc}}}$) with different optical power intensity and temperature, which indicates that $\alpha$-In₂Se₃-based heterojunctions has application potential in mid-far infrared light detection based on its out-of-plane photoconductive and bulk photovoltaic effects. Although the out-of-plane photoconductive and bulk photovoltaic effects are relatively lower than that of traditional materials, the findings pave the way for a better understanding of the out-of-plane characteristics of two-dimensional $\alpha$-In₂Se₃ and related heterojunctions. Furthermore, the results highlight the application potential of $\alpha$-In₂Se₃ in low-power device innovation and performance modification.