Holy Arrows have a close resemblance to regular arrows; however their most distinctive feature is that the bladed tip of the arrow resembles a yellow star when facing the front with the five lower points descending downward.
As a product of the Angels, Holy Arrows are imbued with Holy Magic and when fired by an Angel they tend to emit an aura that seems to increase the effectiveness of the attack. They seem to be capable of causing a small magical explosion on impact, noted when Sakido was hit in the back by one and it blew off a bit of her flesh. Thus far it seems that the arrows are able to instantly kill a Demon regardless of where they are hit, though it could just be from how skilled the Angel is in how they fire their arrows, especially when it can penetrate through the body.
Regardless of their power, a Holy Arrow can be blocked, presumably by another Angel Weapon; as shown when Kieri blocked it with her sword.