AgI is instable under light irradiation owing to its photosensitive properties, while a supported Ag–AgI composite has been demonstrated to be a stable photocatalyst. However, seldom investigations have been focused on the photocatalytic activity (including deactivation) and photoinduced stability of the photosensitive AgI materials. In this study, the AgI nanoparticles were immobilized on the surface of Ag8W4O16 nanorods by an anion-exchange route and their photocatalytic activities were evaluated by photocatalytic decomposition of methyl orange and phenol solutions under visible-light irradiation. A photoinduced self-stabilizing mechanism of the AgI nanoparticles was proposed to account for the formation of a stable Ag–AgI photocatalyst, namely, instable AgI can transform into a stable Ag–AgI photocatalyst after in situ formation of partial Ag on the surface of AgI nanoparticles. The photocatalytic performance of the immobilized AgI photocatalyst was greatly influenced by the formation of metallic Ag. With increasing repetitions of photocatalytic experiments, the initial deactivation was accompanied by the rapid increase of metallic Ag owing to the reduction of lattice Ag+, while the subsequently stable activity corresponds to the formation of a stable Ag–AgI composite photocatalyst. Compared with the un-immobilized AgI photocatalyst, the immobilized AgI nanoparticles exhibited a higher and more stable photocatalytic performance.