Herein, a novel photoelectrochemical heterostructure based on TiO2 nanotube layers uniformly coated by a CdS thin layer (using ALD) is presented. Downscaling the nanotube diameter (from 95 to 35 nm) resulted in a 2-fold enhancement of the UV and Vis light photocurrents. Further photocurrent improvement resulted from the prior annealing of the TiO2 nanotube layers from 300 to 600 °C.