Cadmium sulfide (CdS) and cadmium selenide (CdSe) quantum dots (QDs) are sequentially assembled onto a nanocrystalline TiO2 film to prepare a CdS/CdSe co-sensitized photoelectrode for QD-sensitized solar cell application. The results show that CdS and CdSe QDs have a complementary effect in the light harvest and the performance of a QDs co-sensitized solar cell is strongly dependent on the order of CdS and CdSe respected to the TiO2. In the cascade structure of TiO2/CdS/CdSe electrode, the re-organization of energy levels between CdS and CdSe forms a stepwise structure of band-edge levels which is advantageous to the electron injection and hole-recovery of CdS and CdSe QDs. An energy conversion efficiency of 4.22% is achieved using a TiO2/CdS/CdSe/ZnS electrode, under the illumination of one sun (AM1.5,100 mW cm−2). This efficiency is relatively higher than other QD-sensitized solar cells previously reported in the literature.