ZnO/ZnFe₂O₄ nanoparticles were synthesized by hydrothermal and annealed method. X-ray diffraction(XRD), scanning electron microscopy(SEM) and photoluminescence(PL) spectroscopy were used to characterize the synthesized and annealed ZnO/ZnFe₂O₄ nanoparticles. The results indicate that the synthesized nanoparticles are mainly composed of hexagon wurtzite ZnO and cubic ZnFe₂O₄, and the crystal quality is improved by annealing treatment. It is observed that the intrinsic photoluminescence attributed to the recombination of photogenerated carriers of ZnO was obviously weakened after annealing process, which confirms that a ZnO/ZnFe₂O₄ heterojunction was formed which could improve the separation of photogenerated carriers. Photocatalytic test′s results show the photocatalytic activity of the annealed ZnO/ZnFe₂O₄ nanoparticles is better than the synthesized, and the photocatalytic degradation ratio of MO is 50.48% under 3 hours′ UV-illumination. The magnetic properties of the annealed ZnO/ZnFe₂O₄ were also investigated, the synthesized nanoparticles were paramagnetic at room temperature, and the annealed nanoparticles were ferromagnetic. In conclusion, the annealed ZnO/ZnFe₂O₄ nanoparticles may have a great potential in the magnetic photocatalytic fields.