We report the fabrication of tuned band gap quantum dots sensitized LaB₆ hybrid nanostructures and their application as a photoanode for photoelectrochemical water splitting. The lanthanum hexaboride (LaB₆) obtained by molten salt electrolysis method is sensitized with different sized CdSe quantum dots, which form a multiple-level hierarchical heterostructure and such design enhance the light absorption and charge carrier separation, which in turn showed higher photocurrent density compared to that of pristine LaB₆. When LaB₆ is sensitized with CdSe quantum dots of different band gaps, which have the absorption in the green and red (530 and 605 nm) regions in visible light, developed a ten times higher photocurrent density (11.0 mA cm(−2)) compared to that of pristine LaB6 (0.5 mA cm(−2) at 0.75 V vs. Ag/AgCl) in 1 M Na₂S electrolyte under illumination. These results prove that the tuned band gap quantum dots sensitized LaB₆ heterostructures are an ideal candidate for a photoanode in solar water splitting applications.