We report on the fabrication, structural characterization, and luminescence properties of ZnSe/Si bi-coaxial nanowire heterostructures. Uniform ZnSe/Si bi-coaxial nanowire heterostructures are grown on silicon substrates by the simple one-step thermal evaporation of ZnSe powder in the presence of hydrogen. Both ZnSe and silicon are single-crystalline in the bi-coaxial nanowire heterostructures, and there is a sharp interface along the nanowire axial direction. Furthermore, secondary nanostructures of either ZnSe nanobrushes or a SiOx sheath are also grown on the primary bi-coaxial nanowires, depending on the ratio of the source materials. The experimental evidence strongly suggests that bi-coaxial nanowires are formed via a co-growth mechanism, that is, ZnSe terminates specific surfaces of silicon and leads to anisotropic, one-dimensional silicon growth, which simultaneously serves as preferential nucleation sites for ZnSe, resulting in the bi-coaxial nanowire heterostructures. In addition, the optical properties of ZnSe/Si nanowires are investigated using low-temperature photoluminescence spectroscopy.