Ultra-small PbSe nanocrystals (NCs) were synthesized via a 'one-pot' approach in olive oil as the reaction medium and capping agent. The optical spectra showed discernible blue shifts in the absorption band edges (570-780 nm) due to strong quantum confinement effects and photoluminescence (PL) spectra showed significant strong emission peaks in the range of 780-850 nm. The broad peaks in the powder X-ray diffraction (p-XRD) pattern indicate the ultra-small size of the as-prepared NCs. These NCs were used to construct an extremely thin absorber (ETA) solar device after surface modification. The preliminary results indicate their potential as light harvesting entities in nanostructure based solar cells.