Electrochemical studies of thiol-capped ZnSe nanocrystals in aqueous solution have demonstrated several distinct oxidation and reduction peaks in the voltammograms, with the peak positions being dependent on the size of the nanocrystals and their photoluminescence quantum efficiency. The evolution of the specific features in the cyclic voltammetric curves of ZnSe NCs as a function of their photochemical treatment is studied. The interpretation of the results based on the approaches previously developed for CdTe NCs is found to be in good correlation with the proposed mechanism of the ZnSe NCs phototreatment, i.e., the formation of a sulfur-enriched surface shell. By this, cyclic voltammetry has been demonstrated to be a powerful method for probing surface states of semiconductor NCs as well as for monitoring the evolution of these states during photochemical processing.