A linker-free reduced graphene oxide (R-GO)-CdSe nanoparticle (CdSe NP) hybrid nanostructure was synthesized using a chemical vapor deposition method. CdSe NPs were selectively deposited on the surface of R-GO with controlled NP size and coverage. The distribution and morphology of CdSe NPs on R-GO were characterized by scanning electron microscopy, transmission electron microscopy, and atomic force microscopy. The resulting hybrid nanostructure exhibited photoresponse to both laser and simulated sunlight AM 1.5G excitation. The hybrid structure with low CdSe NP coverage showed distinct photoresponse times in air, N(2), NH(3), and NO(2), while high CdSe NP coverage led to nearly constant but three orders of magnitude smaller response time in all gases. Such a difference in photoresponse as a function of NP coverage is attributed to the energy band bending at the interface between the R-GO and the CdSe NP. The selective deposition of CdSe NPs on R-GO and the understanding of the subsequent photoinduced charge transfer can potentially lead to high-performance optoelectronic devices.