Coaxial nanorods with a single-crystalline core and nanocrystal sensitizer shell are a promising nanostructure to enhance the performance of semiconductor sensitized solar cells. Herein, we report the fabrication of coaxial nanorods by depositing n-type CdS and p-type CdTe nanocrystals sequentially on ZnO nanorods. We find that p-type CdTe nanocrystals can work jointly with n-type CdS nanocrystals to enhance the photocurrent and voltage, achieving a conversion efficiency more than three times that of pure ZnO/CdS nanorods. Electrochemical impedance spectroscopy characterization suggests that the stepwise band structure of ZnO/CdS/CdTe is conducive to improving charge separation and extending the electron diffusion length, finally contributing to a high conversion efficiency.