Inspired by green plants, artificial photosynthesis has become one of the most attractive approaches toward carbon dioxide (CO2) valorization. Semiconductor quantum dots (QDs) or dot‐in‐rod (DIR) nano‐heterostructures have gained substantial research interest in multielectron photoredox reactions. However, fast electron–hole recombination or sluggish hole transfer and utilization remains unsatisfactory for their potential applications. Here, the first application of a well‐designed ZnSe/CdS dot‐on‐rods (DORs) nano‐heterostructure for efficient and selective CO2 photoreduction with H2O as an electron donor is presented. In‐depth spectroscopic studies reveal that surface‐anchored ZnSe QDs not only assist ultrafast (≈2 ps) electron and hole separation, but also promote interfacial hole transfer participating in oxidative half‐reactions. Surface photovoltage (SPV) spectroscopy provides a direct image of spatially separated electrons in CdS and holes in ZnSe. Therefore, ZnSe/CdS DORs photocatalyze CO2 to CO with a rate of ≈11.3 µmol g−1 h−1 and ≥85% selectivity, much higher than that of ZnSe/CdS DIRs or pristine CdS nanorods under identical conditions. Obviously, favored energy‐level alignment and unique morphology balance the utilization of electrons and holes in this nano‐heterostructure, thus enhancing the performance of artificial photosynthetic solar‐to‐chemical conversion. A dot‐on‐rod (DOR) nano‐heterostructure is rationally constructed by anchoring multiple ZnSe QDs on a single CdS nanorod. Due to the favored energy level alignment and the good exposure of ZnSe to the surrounding medium, ultrafast (≈2 ps) charge separation and facile hole utilization are realized, which enable effective and selective CO2‐to‐CO photoreduction taking H2O as an electron donor.