The conversion of carbon dioxide (CO₂) into value-added products and fuels is a promising technology to address the climate crisis and meet energy demands. The photoelectrochemical CO₂ reduction reaction (PEC CO₂RR), which mimics natural photosynthesis, is a sustainable method that uses solar energy to convert CO₂ into carbon species such as CO, HCOOH, and C₂H₄ with high industrial utility. Silicon (Si) is a potential photocathode in the PEC CO₂RR because of its narrow bandgap and high carrier mobility. The persistent challenges associated with low efficiency and selectivity in the PEC CO₂RR continue to drive ongoing research efforts. These efforts have primarily focused on the development of co-catalysts to enhance the efficiency and selectivity of the resulting products. Depositing an appropriate co-catalyst onto a Si photocathode plays a pivotal role in controlling rapid charge transfer and influencing product selectivity. This review offers a comprehensive analysis of recent advances in co-catalyst design and loading approaches for PEC CO₂RR, tailored to the desired CO₂ reduction products, with particular emphasis on the typical deposition methods of physical vapor deposition, drop-casting, and photo/electrodeposition. First, the basic principles of PEC CO₂RR are introduced. Next, recent Si-based PEC cells for CO₂ reduction to different target chemicals are highlighted, and the principles of the co-catalyst design and deposition method are discussed. Finally, the review concludes with a summary on effective strategies to promote selective solar fuel production and a vision for the challenges and opportunities of immobilizing co-catalysts in PEC systems.