Thermal annealing of metal oxides in oxygen‐deficient atmosphere, particularly reducing hydrogen gas, has been demonstrated to induce oxygen vacancy formation for enhanced photoactivity of the materials. Here, it is demonstrated that argon annealing (another prevalently used oxygen‐deficient gas) in the temperature range of 300–700 °C greatly affects the activity of dual‐faceted BiVO4 microcrystals for photocatalytic O2 generation and photocurrent generation. While treatment at 300 °C has little to no effect, higher temperatures of 500 and 700 °C significantly improve the crystallinity, alter the local structure distortion, and reduce the bandgap energy of the treated BiVO4. The higher temperature treatment also favors formation of new subgap states attributed to oxygen vacancies, as supported by surface photovoltage and electron paramagnetic resonance spectroscopies. Despite the most profound improvements in structural, optical, and electronic properties displayed by the 700 °C‐treated BiVO4, the sample annealed at 500 °C exhibits the highest photoactivity. The lower activity of the 700 °C‐treated BiVO4 is ascribed to the creation of bismuth vacancies and the loss of well‐defined crystal facets, contributing to impeded electron transport and poor charge separation.