In this study, cadmium selenide (CdSe) were synthesizd by a chemical route process using l-cysteine (l-cyst) as a ligand, cadmium acetate as a Cd source and Na2SeO3 as a Se precurseur. CdSe nanocrystals were embedded in porous anodic alumina (PAA) layer by the chemical bath deposition (CBD) method. The influence of annealing temperature in air-atmosphere from 150 to 350 °C on the microstructural, optical properties, and thermal conductivity of CdSe in PAA template has been studied by scanning electron microscope (SEM), energy-dispersive X-ray spectroscopy (EDX), Raman spectroscopy, UV–Vis and photothermal deflection (PTD) techniques. The annealing temperature at 300 and 350 °C resulted in a considerable change in the surface morphology of CdSe film on the PAA layer, from a nonhomgeneous CdSe clusters into microrods array with a pyramidal ends. Raman spectroscopy measurements show an enhancement in the crystallinity of CdSe film on PAA layer and an increase of the average radius size of the nanocrystallites from 2.41 to 2.78 nm with the increase of air-annealing temperature. The optical reflectivity result of CdSe on PAA template showed that the crystal quality was significantly improved after the annealing step, bringing about an enhancement in optical absorption and a decrease in bandgap energy. The thermal conductivity Kth was studied via PTD technique, and the Kth increase was depicted with thermal treatement from 4.40 to 5.22 W M−1 K−1.