Water-dispersed CdSe/Bi₂Se₃ core/shell QDs with a photothermal conversion coefficient of 27.09% have been synthesized by a cation exchange reaction. The microstructure and crystal structure of the QDs, which were confirmed by TEM and XRD, showed that partial cation exchange occurred inside the CdSe QDs. Two main mechanisms are responsible for the excellent photothermal conversion: inhibition of radiative recombination of carriers due to the formation of type-Ⅱ semiconductor heterostructures, and the large surface-to-volume ratio of the QDs. Photothermal conversion experiments indicated that the CdSe/Bi₂Se₃ QDs showed high photothermal conversion efficiency and excellent NIR photostability.