A highly aligned one-dimensional (1D) nanostructure was realized at the surface of Fe/ZnSe bilayers grown on GaAs(001) substrates through thermal annealing. These 1D nano-grooves were found to align along the [110] direction resulting in bent reflection high energy electron diffraction (RHEED) patterns when the sample was rotated relative to the e-beam. A model based on Ewald construction is presented to explain the unusual RHEED observation. The formation mechanism of this 1D nanostructure is possibly related to the minimization of surface energy, together with an Fe-Se exchange interaction and Fe-induced decomposition of several top ZnSe atomic layers during thermal annealing.