Fe- and W-containing oxide heterostructures were formed on a titanium surface by plasma electrolytic oxidation in an alkaline tungstate–borate electrolyte containing complex Fe(III)-EDTA ions at anodic current densities of 0.1 and 0.2 A/cm2. According to the data of X-ray diffraction analysis, the composition of all the formed samples is dominated by tungsten oxide WO3 in a cubic modification. In addition, oxide layers obtained at a current density of 0.1 A/cm2 contain Na0.28WO3, Fe2O3, and TiO2 in modifications of rutile and anatase, while the coatings obtained at a current density of 0.2 A/cm2 contain crystalline phases of wustite FeO and Fe2 (WO4)3. The band gap determined by the Tauc method for a direct allowed transition is 2.64 eV for all samples. All formed coatings exhibit photocatalytic activity in the decomposition reaction of methyl orange (20 mg/L, pH 3.3) in the presence of hydrogen peroxide under UV irradiation. The coatings obtained at a current density of 0.1 A/cm2 are active in degradation of methyl orange solution at pH 5.9 (close to the pH of wastewater).