Oriented and high-density CdS nanorod arrays are successfully embedded in CdTe absorbing layers by facile and low-cost hydrothermal method and electrodeposition method. The structural, optical and electrical properties of these samples are examined, and the results demonstrate that the high quality three-dimensional heterostructure is obtained. Further investigations reveal that the three-dimensional heterostructure possesses superior optical absorption property to improve the photoelectric conversion efficiency due to the optical scattering from the nanorod array. In addition, photovoltaic property measurements demonstrate that the energy conversion efficiency of the novel three-dimensional heterojunction solar cell is increased by 18.5% in comparison to the standard planar heternjunction solar cell. The observed improvement is mostly attributed to the three-dimensional heterostructure enabling enhanced optical absorption ability, increased heterojunction area and improved charge carrier collection. This study demonstrates that the three-dimensional heterostructure has a potential application in thin film solar cells, and the solution process represents a promising technique for large-scale fabrication of these novel solar cells.