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.
Luger P08
Yokai, named Nora (Stray) transforms to Luger P08 in the hands of God Ebisu during the battle in Yomi (hell in Shinto) at the "The Sound of a Thread Snapping" (S2E09).
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.
Long Guns
Browning BPS
Serial killer fires Browning BPS at the "The Yatogami Serial Murder Incident" (OVA 3)
Daisy Red Ryder
Bishamon and Kazuma both "fires" Daisy Red Ryder air rifle at the shooting range at the "A Picture Together" (OVA 4).
Trivia
During the opening of the first season, the song states that Yato uses a rifle (小銃; Shoujuu), but it never appears in this anime.