Thin films of Cd–Fe–Se have been prepared onto stainless steel substrates, for various compositions of Cd and Fe and solution concentrations by an electrodeposition technique. Cd0.9Fe0.1Se films, electrodeposited with a solution concentration of 10 mM, forming a photoelectrochemical (PEC) cell using ferri‐ferrocyanide electrolyte, show a better PEC performance. The films deposited using optimized composition (9:1:10), solution concentration (10 mM), deposition time (30 min) and current density (1 mA/cm2) have been used for further characterization by X‐ray diffraction (XRD) and PEC techniques. It has been found that the as‐grown films are polycrystalline in nature with orientations along the peaks of hexagonal CdSe and FeSe. It has also been found from the current–voltage and power output characteristics that n‐Cd–Fe–Se/ferri‐ferrocyanide junctions show good rectifying nature and the efficiency of the n‐Cd0.9Fe0.1Se/ferri‐ferrocyanide/C PEC cell is 0.41% with FF ≈︂ 50%.