Photoelectrochemical (PEC) water splitting is a viable route for green hydrogen generation. In PEC cells, the electrodes are coated with suitable semiconductor materials, which absorb the sunlight, generating charge carriers that are used to split water molecules into H2 and O2. CuFeO2 is one promising photocathode material for water splitting. However, its performance is limited by electron/hole pairs recombination within the film and at the film/substrate interface. Aerosol deposition (AD) can be employed to minimize charge recombination by spraying dense, thin films and by establishing a good back-contact interface. In this study, CuFeO2 powders were synthesized through a conventional solid-state technique and sprayed by AD under varied parameter sets. The effect of particle size distributions, carrier gas, gas pressure and substrate temperature was investigated. The best spraying parameter set was then tuned to obtain thin coatings (< 1 µm). Single-particle deformation and coatings microstructure were investigated by scanning electron microscopy. Optical properties of CuFeO2 films were analyzed by UV–Vis spectroscopy, while photoelectrochemical performances were estimated through amperometry tests under simulated sunlight. The results of this research show that CuFeO2 photocathodes can be successfully manufactured by AD. Their performance can be optimized by adjusting coating thickness and by annealing in air.