The design and synthesis of efficient catalysts for water oxidation is of significant importance. Here a type of graphdiyne (GDY) based heterostructure of CdSe/GDY was synthesized through a facile in-situ growth strategy including the first growth of GDY nanosheet arrays followed by the nucleation and growth of CdSe quantum dots (QDs) featuring well-dispersed CdSe QDs with uniform size around 3 nm. Experimental results revealed that GDY could effectively induce the growth and well-dispersion of CdSe QDs on GDY, forming new heterostructures and leading to the maximized number of active sites, the reduced recombination of photo-induced electron and hole pairs, and facilitated charge transfer behavior. Benefiting from these superior advantages, CdSe/GDY achieves greatly enhanced catalytic activity toward water oxidation under light illumination, with a small overpotential of 155 mV at the current density of 10 mA cm−2, which is better than those of pristine CdSe QDs and GDY.