An in-situ synthesis of TiO2 nanosheets@CdSe nanocomposites was achieved in the nano-confined space constructed by high internal phase emulsion (HIPE), and the improved photocatalytic degradation property on methylene blue of as-prepared nanocomposites was exhibited. In the continuous phase of HIPE system, CdSe quantum dots (CdSe) with better dispersion and smaller particle size were prepared, and then TiO2 nanosheets with a larger specific surface area were generated around CdSe under the induction of poly(acrylic acid). The detailed structural information and the associated chemical bond presented in the nanocomposites were examined by X-ray diffraction analysis and XPS technique. The morphologies and the specific surface areas of the synthesized TiO2 nanosheets@CdSe nanocomposites were evaluated by TEM and BET characterization. It was found that more regular shape and thinner TiO2 nanosheets were obtained in the nanocomposite. Therefore, the good light absorption and emission capabilities were presented. More importantly, due to the synergistic effect among CdSe and TiO2 nanosheets, a swift removal of methylene blue became possible under both UV light and simulated sunlight by TiO2 nanosheets@CdSe nanocomposites. The degradation efficiencies reached 98.5% and 90.5% in 5 h under UV and simulated sunlight irradiation, respectively. A good re-cycle photocatalytic stability was also shown. Furthermore, the enhancement mechanism of photocatalytic activity was proposed and verified by ESR characterization.