The photoelectrochemical properties of electrodes based on a nanocomposite consisting of TiO2 nanotubes and CdSe films modified with graphene oxide have been studied. It is shown that in such a nanocomposite, a good adhesion of the CdSe layer to the substrate is provided. In this nanocomposite, the cathodic dark leakage currents are lower, and the efficiency of photoelectrodes is higher. From studies of Raman spectra, in which 2LO and 3LO phonon lines were observed, the quality of the modified polycrystalline films of CdSe was concluded. The amount of graphene oxide in NT-TiO2/CdSe/GO composite was determined to be 1.16 mass%, which allows one to obtain optimal photosensitivity of electrodes. It was established that the introduction of graphene oxide into semiconductor electrodes leads to an increase in their photosensitivity which is associated with a decrease of the surface recombination rate. The efficiency of the investigated nanocomposites in the photoelectrochemical cell for hydrogen production was studied together with composites based on graphene materials.