In this work, the production of novel multishell silver indium selenide quantum dots (QDs) shelled with zinc selenide and zinc sulfide through a multistep synthesis precisely designed to develop high-quality red-emitting QDs is explored. The formation of the multishell nanoheterostructure significantly improves the photoluminescence quantum yield of the nanocrystals from 3% observed for the silver indium selenide core to 27 and 46% after the deposition of the zinc selenide and zinc sulfide layers, respectively. Moreover, the incorporation of the multishelled QDs in a poly(methyl methacrylate) (PMMA) matrix via in situ radical polymerization is investigated, and the role of thiol ligand passivation is proven to be fundamental for the stabilization of the QDs during the polymerization step, preventing their decomposition and the relative luminescence quenching. In particular, the role of interface chemistry is investigated by considering both surface passivation by inorganic zinc chalcogenide layers, which allows us to improve the optical properties, and organic thiol ligand passivation, which is fundamental to ensuring the chemical stability of the nanocrystals during in situ radical polymerization. In this way, it is possible to produce silver-indium selenide QD-PMMA composites that exhibit bright red luminescence and high transparency, making them promising for potential applications in photonics. Finally, it is demonstrated that the new silver indium selenide QD-PMMA composites can serve as an efficient color conversion layer for the production of red light-emitting diodes.