Tin chalcogenides (SnX, X = S, Se)-based heterostructures (HSs) are promising materials for the construction of low-cost optoelectronic devices. Here, we report the synthesis of a SnSe/CdSe HS using the controlled cation exchange reaction. The (400) plane of SnSe and the (111) plane of CdSe confirm the formation of an interface between SnSe and CdSe. The Type I band alignment is estimated for the SnSe/CdSe HS with a small conduction band offset (CBO) of 0.72 eV through cyclic voltammetry measurements. Transient absorption (TA) studies demonstrate a drastic enhancement of the CdSe biexciton signal that points toward the hot carrier transfer from SnSe to CdSe in a short time scale. The fast growth and recovery of CdSe bleach in the presence of SnSe indicate charge transfer back to SnSe. The observed delocalization of carriers in these two systems is crucial for an optoelectronic device. Our findings provide new insights into the fabrication of cost-effective photovoltaic devices based on SnSe-based heterostructures.