Complete composition-tuned CdSxSe1−x alloy layers (avg. thickness = 50 nm) were deposited on pre-grown TiO2 nanowires by the thermal vapor transport of CdS/CdSe powders, producing core–shell nanocable arrays. CdSxSe1−x alloy nanowires were also synthesized with full composition tuning by the same method for comparison. The CdSSe nanowires consisted of Se-rich and S-rich pseudo binary phases, while the nanocable shell consisted of more complex multinary phases including CdSe and CdS. Remarkably, unique CdS–CdSSe–CdSe multishell structures were produced in the Se-rich composition range. The photoelectrochemical (PEC) cells fabricated using the as-grown nanocable arrays show higher solar photocurrents and hydrogen generation rates for the Se-rich shelled TiO2 nanocable arrays. This suggests that the CdS–CdSSe–CdSe multishell structures increase greatly the PEC performance by producing novel band alignment for efficient electron–hole separation following enhanced visible-range photon absorption.