Herein, the structural, electronic, and optical properties of ZnSe/AlAs/GaAs multilayer heterostructure are systematically studied based on density functional theory (DFT). The results show that the stacking orders and configurations as well as the interlayer distance can affect the stability of the system. The A configuration is the most stable structure with direct bandgap of 0.548 eV. The electrons in each layer are mainly concentrated near the atoms, due to hybridization of partial atomic orbits; the heterostructure has a strong binding force. Compared with the monolayers, the multilayer heterostructure has better optical properties in the ultraviolet and visible regions, and has stronger absorption ability for infrared light. In addition, compared with the bilayer heterostructures of ZnSe/AlAs, ZnSe/GaAs, and AlAs/GaAs, the multilayer heterostructure has better electrical properties. The ZnSe/AlAs/GaAs multilayer heterostructure has stable structure and excellent photoelectric properties, which has great potential in applications such as photoelectric devices, photocatalysis, and infrared light conversion and detection.