Here, a new three-dimensional (3D) multi-shell Fe3O4/SiO2/ZnO/ZnSe (FSZ-ZnSe) photocatalyst with a type II heterostructure was successfully produced by a convenient synthetic route. The amount of ZnSe particles can be regulated by varying the reactant concentration, and five kinds of FSZ-ZnSe samples (FSZ-ZnSe0, FSZ-ZnSe1, FSZ-ZnSe2, FSZ-ZnSe3 and FSZ-ZnSe4) were obtained. The photocatalytic performances of all as-prepared samples under UV and visible light irradiation were evaluated by the photocatalytic elimination of rhodamine B (RhB) aqueous solution. No matter which light source was used, the FSZ-ZnSe3 sample exhibited enhanced photocatalytic activity in comparison with other samples, benefiting from the sensitization of a proper amount of ZnSe particles, which not only facilitated the separation of photo-induced carriers but also extended the light absorption. Moreover, compared to visible light radiation, the FSZ-ZnSe3 sample under UV light showed remarkably enhanced degradation efficiency toward RhB base on the Z-scheme type transfer of photo-generated electron-hole pairs. The Z-scheme mechanism was confirmed using radical trapping experiments and hydroxyl radical (center dot OH) formation determination study. Meanwhile, the FSZ-ZnSe3 sample exhibited excellent magnetic response and high stability during the recycling photocatalytic experiments.