The SBA-15 loaded with methylene blue was successfully prepared by sample adsorption of methylene blue in SBA-15 and is characterized by an XRD, SEM, FTIR, and BET. The photocatalytic activity for methyl orange (MO) degradation was investigated under visible light irradiation under LEDs. Experimental results demonstrate that the SBA-15-MB exhibited higher photocatalytic activity than SBA-15 under visible light irradiation. The degradation efficiency of MO (50 ppm) by SBA-15-MB could reach 80% within 180 min under 25W LED visible light. The photocatalytic activity of SBA-15 could be attributed to the excitation of methylene blue by visible light, the transfer of electrons from methylene blue to SBA-15, and the production of radicals at the surface of SBA-15.