The purpose of this research was to study the influence of multifunctional anatase–silica photocatalytic materials (ASPMs) with various photocatalytic and pozzolanic activities on the properties of white portland cement and fine-grained concrete. ASPMs were synthesized by a sol–gel method, during which the levels of photocatalytic and pozzolanic activity were regulated by a certain amount of solvent. ASPMb, obtained with the use of a smaller amount of solvent, was characterized by increased pozzolanic activity due to the lower degree of coating of the surface of diatomite particles with titanium dioxide and the higher content of an opal–cristobalite–tridymite-phase and Bronsted acid sites. They promoted the reaction of diatomite with portlandite of cement stone and allowed significant decreases in the strength of cement–sand mortar to be avoided when replacing 15% of the cement with ASPMs. This allowed self-cleaning fine-grained concrete to be produced, which, after forced carbonization, simulating the natural aging of the product during operation, retained the ability of self-cleaning without changes. ASPMc, produced with the use of a larger amount of solvent with a more uniform distribution of titanium dioxide on the surface of diatomite, allowed fine-grained concrete with a high self-cleaning ability to be obtained, but with a lesser manifestation of the pozzolanic effect.