Formation of bulk heterojunctions by incorporating colloidal quantum dots into a mesoporous substrate is anticipated to yield efficient charge collection and complete light absorption. However, it is still challenging in view of the bulky nature of the colloidal quantum dots and the ex situ deposition route. In this study, the feasibility of employing ZnS as a capping material for PbS quantum dots is dissected by carefully designed control experiments, with reference to the formation of bulk heterojunctions by successive ionic layer adsorption and reaction (SILAR) at ambient conditions. The results reveal that the underlying ZnS layer facilitates the PbS deposition by an ion exchange process, while the overlaying ZnS layer tends to cover the PbS in a manner similar to a physical stacking process. Therefore, PbS quantum dots capped with amorphous ZnS are developed with the SILAR technique, which could be used to fill up the mesoporous substrates and thus construct bulk heterojunctions. The hole collection is the limiting factor of such bulk heterojunction solar cells, as demonstrated by inserting a conductive polymer layer in the control devices. Further development of the quantum dot system is discussed in consideration of the fundamental issues presented in this study.