AZO-coated ZnO core–shell nanorods were successfully fabricated using the mist chemical vapor deposition method. The influence of coating time on the structural, optical, and photocatalytic properties of zinc oxide nanorods was investigated. It was observed that the surface area of AZO-coated ZnO core–shell nanorods increased with an increase in coating time. The growth orientation along the (0001) crystal plane of the AZO thin film coating was the same as that of zinc oxide nanorods. The crystallinity of AZO-coated ZnO core–shell nanorods was significantly improved as well. The optical transmittance of AZO-coated ZnO core–shell nanorods was greater than 55% in the visible region. The degradation efficiency for methyl red dye solution increased with an increase in coating time. The highest degradation efficiency was achieved by AZO-coated ZnO core–shell nanorods with a coating duration of 20 min, exhibiting a degradation rate of 0.0053 min−1. The photodegradation mechanism of AZO-coated ZnO core–shell nanorods under ultraviolet irradiation was revealed.