Bishamonten (or Bishamon - shinto God of War) possess shinki yokai (Japanese demon), named Kazuha, that can transforms to the M1911A1 pistol during the battles. Bishamonten often fires this guns akimbo with Smith & Wesson Model 629. Bishamon continue uses it at the second season, before Yato destroyed it by his sword.
Smith & Wesson Model 629
Another Bishamonten shinki yokai, named Karuha, can transforms to the Smith & Wesson Model 629 during the battles. Bishamonten often fires this guns akimbo with M1911A1. At the second season the grip changes to wooden. This gun was also destroyed by Yato.
Trivia
During the opening, the song tells, that Yato uses a rifle (jap. 小銃; Shoujuu), but it's had never appears in this anime.