Aligned ZnO/ZnSe core/shell nanorods (NRs) with type-II energy band alignment were fabricated by pulsed laser deposition of ZnSe on the surfaces of hydrothermally grown ZnO NRs. The obtained ZnO/ZnSe core/shell NRs are composed of wurtzite ZnO cores and zinc blende ZnSe shells. The bare ZnO NRs are capable of emitting strong ultraviolet (UV) near band edge (NBE) emission at 325-nm light excitation, while the ZnSe shells greatly suppress the emission from the ZnO cores. High-temperature processing results in an improvement in the structures of the ZnO cores and the ZnSe shells and significant changes in the optical properties of ZnO/ZnSe core/shell NRs. The fabricated ZnO/ZnSe core/shell NRs show optical properties corresponding to the two excitonic band gaps of wurtzite ZnO and zinc blende ZnSe and the effective band gap between the conduction band minimum of ZnO and the valence band maximum ZnSe. An extended photoresponse much wider than those of the constituting ZnO and ZnSe and a multi-band photoluminescence including the UV NBE emission of ZnO and the blue NBE emission of ZnSe are observed.