In this work, we show the effect of the thermal treatment temperature on the photoelectrochemical (PEC) activity of CdSe/TiO2 nanocomposites. TiO2 nanotubes (NTs) were synthesized by anodization and the nanocomposites were obtained by depositing CdSe clusters via magnetron sputtering. A two-step thermal treatment was performed: heating the TiO2 NTs at different temperatures prior to CdSe deposition and further heating the CdSe/TiO2 nanocomposites. The nanocomposites were characterized by Rutherford backscattering spectroscopy (RBS), scanning electron microscopy (SEM), scanning transmission electron microscopy (STEM), high-resolution transmission electron microscopy (HRTEM), energy dispersive X-ray spectroscopy (EDX), X-ray diffraction (XRD), UV-Vis spectrophotometry, and electrochemical impedance spectroscopy (EIS). To compare the PEC performance of the CdSe/TiO2 nanocomposites and pristine TiO2 NTs, linear sweep voltammetry (LSV) curves were obtained under visible light and under 1 sun illumination. It was observed that CdSe incorporation into the TiO2 template enhances the visible light absorbance thereby improving the PEC performance of the nanocomposites. We have found that the optical, structural and PEC properties of the CdSe/TiO2 nanocomposites are dependent on the thermal treatment temperature of the TiO2 nanotubular substrate, prior to CdSe deposition. Moreover, a three-fold improvement in photocurrent was observed upon further thermal treatment of the obtained nanocomposite.