Semiconductor core/shell quantum dots (QDs) are considered promising building blocks to fabricate photoelectrochemical (PEC) cells for the direct conversion of solar energy into hydrogen (H2). However, the lattice mismatch between core and shell in such QDs results in undesirable defects and severe carrier recombination, limiting photo-induced carrier separation/transfer and solar-to-fuel conversion efficiency. Here, we explore an interface engineering approach to minimize the core-shell lattice mismatch in CdS/CdSexS1-x (x=0.09~1) core/shell QDs (g-CSG). As a proof-of-concept, PEC cells based on g-CSG QDs yield a remarkable photocurrent density of 13.1 mA/cm2 under AM 1.5 G one-sun illumination (100 mW/cm2), which is ~54.1% and ~33.7% higher compared to that in CdS/CdSe0.5S0.5 (g-CSA) and CdS/CdSe QDs (g-CS), respectively. Theoretical calculations and carrier dynamics confirm more efficient carrier separation and charge transfer rate in g-CSG QDs with respect to g-CSA and g-CS QDs. These results are attributed to the minimization of the core-shell lattice mismatch by the cascade gradient shell in g-CSG QDs, which modifies carrier confinement potential and reduces interfacial defects. This work provides fundamental insights into the interface engineering of core/shell QDs and may open up new avenues to boost the performance of PEC cells for H2 evolution and other QDs-based optoelectronic devices.