A sub-micron structured film with a poly(3-methylthiophene) (P3MT)-modified CdTe/ZnO shell-core sub-micron tube array has been prepared by a series of electrodeposition processes, and a semiconductor-sensitized solar cell based on this structure was also fabricated. Vertically oriented ZnO sub-micron tubes were obtained on an indium tin oxide (ITO) substrate, and then CdTe nanocrystals and a thin P3MT layer were electrodeposited sequentially onto the walls of the ZnO sub-micron tubes. A suitable thickness of CdTe and P3MT could improve the photovoltaic properties of the solar cell, which was attributed to the enhancement in the light absorption and the decrease in the recombination of photogenerated carriers. In addition, a p–n heterojunction formed between the interface of CdTe and P3MT played an important part in the efficient separation and fast transport of photogenerated carriers in the sub-micron structure. A power conversion efficiency of 1.20% was obtained with this type of solar cell.