The CdSe@TiO2 core-shell nanorod arrays for photoelectrochemical (PEC) application were designed and constructed by a facile electrochemical deposition strategy. The CdSe@TiO2 photoanodes exhibit highly efficient PEC performance under visible light irradiation, among which the CdSe shell layer thickness can be precisely adjusted by different electrodeposition time. In comparison with nude TiO2 nanorods, the optimized CdSe@TiO2 photoanode (TC-500) shows a significant saturated photocurrent density of 2.1 mA/cm(2) at 0 V (vs Ag/AgCl), which is attributed to the good distribution of CdSe nanoparticles on TiO2 nanorod arrays, the favorable band alignment, and the intimate interfacial interaction between CdSe nanoparticles and TiO2 nanorods. The introduction of CdSe shell layer does not only improve light absorption ability but also enhances photogenerated charge carrier's transfer and separation. This current work systematically studies the accurate adjustment of CdSe shell layer thickness on TiO2 nanorod arrays by electrochemical deposition strategy and provides a paradigm to design and fabricate heterostructure composite for PEC application.