High-density and well-aligned ZnO-ZnS core-shell nanocone arrays were synthesized on fluorine-doped tin oxide glass substrate using a facile and cost-effective two-step approach. In this synthetic process, the ZnO nanocones act as the template and provide Zn2+ ions for the ZnS shell formation. The photoluminescence spectrum indicates remarkably enhanced luminescence intensity and a small redshift in the UV region, which can be associated with the strain caused by the lattice mismatch between ZnO and ZnS. The obtained diffuse reflectance spectra show that the nanocone-based heterostructure reduces the light reflection in a broad spectral range and is much more effective than the bare ZnO nanocone and nanorod structures. Dye-sensitized solar cells based on the heterostructure ZnO-ZnS nanocones are assembled, and high conversion efficiency (η) of approximately 4.07% is obtained. The η improvement can be attributed primarily to the morphology effect of ZnO nanocones on light-trapping and effectively passivating the interface surface recombination sites of ZnO nanocones by coating with a ZnS shell layer.