In this study, mercaptosuccinic acid capped CdSe nanocrystals was successfully synthesized by in-situ medium colloid and used as photocatalyst for the effective photodegradation of methylene blue from aqueous solution under visible light and sunlight irradiations. The particle size and the crystal structure of these nanocrystals were analyzed by different analytical techniques. Dye adsorption prior to photocatalysis using these nanomaterials was studied via the experimental quantification of kinetics and isotherms. These experimental data were modeled including the application of statistical physics theory to analyze the corresponding adsorption mechanism. A maximum adsorption capacity of 27.1 mg/g (80% of dye removal) was observed in 10 min using an initial concentration of 30 mg/L. Statistical physics calculations indicated that the adsorption energy was lower than 40 kJ/mol. It was also established that the dye adsorption was associated to the electrostatic interactions and hydrogen bonding. Overall, the dye removal was a spontaneous, feasible and exothermic process. Adsorption properties of CdSe-MSA nanocrystals improved the dye photodegradation efficiency under visible light thus achieving up to 80% degradation in 60 min. The synergic effect of adsorption and photocatalytic degradation performance was mainly due to the surface area, small size (3.7 nm) and structural defects (selenium vacancies Se, interstitial of cadmium ICd) of nanocrystals, which enhanced the response of these nanomaterials inside the visible range for the photocatalytic activity. In summary, these nanocrystals are promising materials to be used in wastewater treatment under sunlight for the removal of organic compounds like dyes.