In this study, BiFeO3 (BFO) nanosheets ground from BFO particles were first incorporated with wool flakes to construct sandwich-like wool–BFO composites using the vibration-assisted ball milling technique in freezing conditions. The wool–BFO composites were then loaded with a thick layer of TiO2 nanoparticles to prepare the core–shell-structured wool–BFO–TiO2 composites using a hydrothermal synthesis process. The microstructure of the core–shell wool–BFO–TiO2 composites and its photocatalytic applications were systematically examined using a series of characterization methods. Trapping experiments and electron spin resonance spectra were also employed to judge the active radical species like superoxide radicals (·O2
−), singlet oxygen (1O2), holes (h+), and hydroxyl radicals (·OH) using benzoquinone, furfuryl alcohol, ethylenediamine tetraacetic acid, and tert-butanol as the scavengers, respectively. The photodegradation performance of the wool–BFO–TiO2 composites was measured using more resistant methyl orange (MO) dye as the pollutant model. In comparison with the wool–TiO2 or wool–BFO composites, the superior photocatalytic properties of the wool–BFO–TiO2 composites under visible light irradiation were attributed to the presence of mesopores and macropores, the large specific surface area and intimate interface between wool–BFO composites and TiO2 nanoparticles, the coexistence of Fe3+, Fe2+, Bi3+, Bi(3–x)+, Ti4+, and Ti3+species, and the strong visible light harvesting, thus leading to the fast separation of photogenerated electron–hole pairs. The wool–BFO–TiO2 composites could be used for the repeated photodegradation of organic pollutants and be recycled easily using a magnet. The active radical species of the wool–BFO–TiO2 composites were ·O2
− and 1O2 rather than ·OH and h+, which were involved in the photodegradation of MO dye under visible light irradiation.