The band structures of the Heusler compounds Co₂Cr_0.6Fe_0.4Al and Co₂FeAl were investigated in situ by angle-resolved ultraviolet photoemission spectroscopy. The samples were prepared by a sputtering process optimized for tunnelling junction preparation, the photoemission process in the normal direction of the (0 0 1)-oriented thin films was excited by a helium gas discharge lamp (hν = 21.2 eV and hν = 40.8 eV). The spectra of clean samples are compared with calculations of the total and partial bulk density of states and are evaluated within the three-step model of photoemission. Basic agreement with theoretical predictions of the bulk band structure is concluded. At oxygen exposures of the thin films of only 1 Langmuir a chemisorption phase with significant changes in the valence-band spectrum near the Fermi energy is observed. At 10 L oxygen the spectra are indicative of an oxide within the UPS probing depth.