For better use of solar energy, the development of full-spectrum photocatalysts has attracted most attentions. In this research, uniform hollow MoSe2/CdSe nanospheres (250 nm) were prepared by one-pot solvothermal strategy. It is the first time to synthesize hollow MoSe2 based nanostructure without any template/surfactant assistance. By varying reaction time, the formation mechanism was investigated, illuminating that the novel hollow structure is derived from the Kirkendall Effect. Both experimental and density functional theory (DFT) calculations reveal the Z-scheme mechanism of the charge transfer in the heterostructure. The hollow MoSe2/CdSe nanospheres (MC2) possess the remarkable photocatalytic activity in degradation of Cr(VI) (125 mg g−1, simulated sunlight), owing to the high harvest of full spectrum, porous hollow structure and effective charge separation/transfer. Furthermore, the photocatalytic process was further studied in detail, showing that the Langmuir single-layer adsorption behavior, low pH value condition, and thermal effect also benefit to the high photoreduction performance. Benefiting from the Z-scheme mechanism, the high redox activity make sure the water splitting capacity of MC2 (7120.0 and 348.0 μmol h−1 g−1 of H2 and O2 evolution) under simulated sunlight irradiation and its AQY for H2 evolution at 670 nm reaches up to 27.2% (50 mg MC2).