The construction of heterostructure and rational regulation of electronic band structure toward electrocatalyst is crucial to essentially reform the oxygen reduction reaction (ORR) and oxygen evolution reaction (OER) activities in Li-O₂ batteries. Herein, a simple electrospinning strategy combining subsequent annealing process for the construction of Co₃O₄/CeO₂ p-n heterojunction in-situ embedded in Co/N-doped carbon nanofiber (Co₃O₄/CeO₂@Co/N-CNF) derived from metal-organic framework (MOF) is developed. The coupled heterogeneous interface and highly concentrated oxygen vacancies ensure a rapid charge transfer between Co₃O₄ and CeO₂, leading to and changed electronic state and rich defect sites. Accordingly, the prepared Co₃O₄/CeO₂@Co/N-CNF catalyzed Li-O₂ battery delivers a low voltage gap (0.87 V at a middle capacity of 500 mAh/g), high discharge/charge specific capacities (9667.3/9317.3 mAh/g at 100 mA g⁻¹), and improved cycling lifespan (exceed 70 cycles at 100 mA g⁻¹). In addition, interface engineering of heterostructure electrocatalysts can effectively regulate the morphology of discharge products. This research offers a new insight into the construction of heterojunction to boost the electrocatalytic performance of Li-O₂ batteries.