Semiconductor axial nanowire heterostructures are important for realizing the high-performance nano-photonics and opto-electronics devices. Although different IV and III-V semiconductor axial nanowire heterostructures have been successfully prepared in recent decade, few of them focused on the optical properties, such as the waveguide, due to their low light emission efficiencies. The II-VI semiconductor nanowires grown by chemical vapor deposition strategy, such as CdS, CdSe and their alloys, can act as nanoscale waveguide, nanolasers, etc., because of their high optical gains and atomically smooth surfaces. However, it is still a challenge to growing the high-quality II-VI semiconductor axial nanowire heterostructures, owning to the poor controllability of the vapor growth techniques. Here, the CdS/CdSSe axial nanowire heterostructures are prepared with well controlled CVD method under the catalysis of annealed Au nanoparticles. The scanning electron microscope characterization shows that the wires have smooth surfaces with Au particles at the tips, indicating the vapor-liquid-solid growth mechanism for the nanowire heterostructures. The microscope images of the dispersed wires illuminated with a 405 nm laser show that the red and the green segment align axially with a sharp interface, demonstrating the axial alignment of CdS and CdSSe segments. The position related micro-photoluminescence spectra exhibit near band edge emissions of CdS and CdSSe without obvious emission from defect states, which suggests that the wires have highly crystalline quality. The waveguide of the nanowire heterostructures is studied through respectively locally exciting the two ends of the wire with a focused 488 nm laser. The local illuminations at both the CdS end and the CdSSe end result in red emission at the corresponding remote ends of the wires, with the emission intensity of the former being one order lower than that of the later, which is caused by the reabsorption of the green light emission (from CdS segment) in the CdSSe segment. This indicates the asymmetric waveguide in these heterosturctures, which implies that the CdS/CdSSe nanowire heterostructures have the potential applications in the photodiode. Under the pumping of 470 nm femtosecond laser, dual-color (red and green) lasing is realized based on these wires, with the lasing threshold of red light lasing being lower than that of the green one, which results from the larger round-trip loss for the green light arising from the self-absorption in CdSSe segment. To prove that the light can be transfer between the two segments with different refractivities, the waveguide of the nanowire heterostructure is simulated by the COMSOL. The result shows that the light can effectively propagate between CdS and CdSSe segments, which ensures the light-matter interaction in the axial CdS/CdSSe nanowire heterostructures as discussed above. These high-quality CdS/CdSSe axial nanowire heterostructures can be found to have the potential applications in photodiodes, dual-color nanolasers and photodetectors.