H₂S gas sensors were fabricated using p-n heterojunctions of NiO/ZnO, in which the ZnO nanorod arrays were wrapped with NiO nanosheets via a hydrothermal synthesis method. When the H₂S gas molecules were adsorbed and then oxidized on the ZnO surfaces, the free electrons were released. The increase in the electron concentration on the ZnO boosts the transport speed of the electrons on both sides of the NiO/ZnO p-n junction, which significantly improved the sensing performance and selectivity for H₂S detection, if compared with sensors using the pure ZnO nanorod arrays. The response to 20 ppm of H₂S was 21.3 at 160 °C for the heterostructured NiO/ZnO sensor, and the limit of detection was 0.1 ppm. We found that when the sensor was exposed to H₂S at an operating temperature below 160 °C, the resistance of the sensor significantly decreased, indicating its n-type semiconductor nature, whereas when the operating temperature was above 160 °C, the resistance significantly increased, indicating its p-type semiconductor nature. The sensing mechanism of the NiO/ZnO heterostructured H₂S gas sensor was discussed in detail.