The erosion issue of ZnO nanorod arrays (NRAs) film is the major obstacle in surface sensitization of ZnO NRAs grown on Zn foil substrate for photoelectrochemical (PEC) applications. In this paper, PEC performance of ZnO NRAs grown on Zn foil substrate was greatly enhanced by coating ZnSe and CdSe on the surface of ZnO NRAs. Dense ZnO NRAs were in-situ grown on seed-free Zn foil substrate in a NH3·H2O and NaOH hydrothermal system. ZnSe/CdSe co-sensitized ZnO heterostructures were then successfully synthesized using ZnO NRAs as precursors by two successive in-situ ion exchanges without damaging Zn foil and ZnO NRAs film. To obtain optimal photoconversion efficiency, anion exchange time and temperature were optimized. ZnO/ZnSe/CdSe heterostructures with optimized structure were shown as a layer of compact ZnSe/CdSe nanofilm conformally and uniformly coated on ZnO NRAs, which leads to efficient separation of photogenerated carriers, significant enhancement in visible-light absorption, and excellent PEC performance with photocurrent density of 3.008 mA/cm2 (−0.2 V vs. Ag/AgCl) and photoconversion efficiency of 1.99% (0.418 V vs. RHE in polysulfide electrolyte solution), 27.55 and 40.61 times higher than those of ZnO NRAs, respectively.