The red-brown CdSe thin films are electrochemically deposited on conductive ITO/TiO2 film surfaces, and the multilayer TiO2/CdSe structures are constructed. The microstructures and the photoelectrochemical properties of multilayer TiO2/CdSe structures are investigated. The results show that the CdSe thin films are grown preferentially along the (111) direction. The thickness and UV-Vis absorbance intensity of multilayer films increase with the increase of layer number of TiO2/CdSe structure. The results obtained from photoelectrochemistry measurement indicate that the optimal photoelectrochemical current response and open-circuit voltage are obtained in a biolayer TiO2/CdSe system, which therefore demonstrates the favorable photoelectrochemical properties.