Certain example embodiments of this invention relate to a photo catalytic coated article and a method of making the same. In certain example embodiments, a coated article includes a zirconium nitride and/or oxide inclusive layer before heat treatment (HT). The coated article is heat treated so that following heat treatment (e.g., thermal tempering) a zirconium oxide based layer is provided. A photocatalytic layer (e.g., of an oxide of titanium) maybe formed over zirconium oxide based layer following heat treatment.