In this paper, post-thermal annealing treatment is introduced to improve the photovoltaic performance of CdS/CdSe quantum dot (QD) co-sensitized TiO2 electrodes fabricated through successive ionic layer adsorption and reaction (SILAR) method. It has been found that post-thermal annealing could enhance the crystallinity of CdS and CdSe QDs obviously, increase the short-circuit current density (Jsc) and power conversion efficiency (PCE) of QD sensitized solar cells (QDSSCs) significantly. After annealing at 200 °C for 3 min, the Jsc and PCE of QDSSCs increase from 11.71 ± 0.23 mA cm−2 and 2.57 ± 0.05% to 12.99 ± 0.31 mA cm−2 and 2.86 ± 0.06%, respectively. With the post-thermal annealing temperature further increasing to 300 °C, the Jsc sharply increases to 15.75 ± 0.15 mA cm−2, but the PCE is almost unchanged, which has been attributed the sharply decrease of fill factor (FF). Electrochemical impedance spectroscopy measurement has demonstrated that the sharply increased FF originates from the increase of the resistance at TiO2/electrolyte interface when the post-thermal annealing treatment is 300 °C.