ZnO sheets with short carrier transport distance are suitable for constructing heterostructures for improved photocatalytic hydrogen evolution activity. Narrow bandgap CdSe nanoparticles (NPs) can be used to sensitize the ZnO sheets and consequently extend the visible light response range. The ZnO-CdSe heterostructural sheets, synthesized through a light-assisted growth method, consisted of single-crystal ZnO sheets and CdSe NPs distributed on the surface of ZnO sheets. The ZnO-CdSe heterostructural sheets exhibited higher photocatalytic hydrogen rate than ZnO, CdSe, and ZnO particle-CdSe under light irradiation. The photocatalytic hydrogen evolution rates of the ZnO-CdSe heterostructural sheets were significantly improved under UV–visible and visible light (λ ≥ 420 nm) irradiations when Pt nanoparticles were loaded as cocatalysts. The heterostructural sheets also exhibited stable hydrogen generation rate in a long-term photocatalytic reaction. The synergistic effect between ZnO sheets and CdSe NPs and shortened transport distance of photoexcited carriers in the sheet-like heterostructure mainly contributed to the improved photocatalytic hydrogen activity.