Large area rutile TiO₂ nanorod arrays were grown on F:SnO₂ (FTO) conductive glass using a hydrothermal method at low temperature. CdSe quantum dots (QDs) were deposited onto single-crystalline TiO₂ nanorod arrays by a chemical bath deposition (CBD) method to make a photoelectrode. The solar cell was assembled using a CdSe-TiO₂ nanostructure as the photoanode and polysulfide solution as the electrolyte. The annealing effect on optical and photovoltaic properties of CdSe quantum-dotssensitized TiO₂ nanorod solar cells was studied systematically. A significant change of the morphology and a regular red shift of band gap of CdSe nanoparticles were observed after annealing treatment. At the same time, an improved photovoltaic performance was obtained for quantum-dots-sensitized solar cell using the annealed CdSe-TiO₂ nanostructure electrode. The power conversion efficiency improved from 0.59% to 1.45% as a consequence of the annealing effect. This improvement can be explained by considering the changes in the morphology, the crystalline quality, and the optical properties caused by annealing treatment.