Nb₂O₅ nanowires (NWs) were grown by the thermal oxidation of Nb foils. The thermal chemical vapor transport of CdS/CdSe powders produces Nb₂O₅–CdS_xSe_1−x core–shell NWs with complete composition tuning. In the alloy composition, CdSe-like and CdS-like phases exist in the outer and inner regions of the shell, respectively, forming unique multi-shell structures. As x increases, the thickness of the CdSe-like outer shell decreases, while that of the CdS-like inner shell increases. We fabricated photoelectrochemical (PEC) cells using the as-grown Nb₂O₅–CdS_xSe_1−x NWs and measured their photocurrents and hydrogen generation rates under AM 1.5G irradiation. The PEC cells showed excellent photoconversion efficiency, which is comparable to that of TiO₂–CdS_xSe_1−x NWs. It indicates that the present Nb₂O₅ NW promises an excellent photoanode of solar cell devices. The multi-shell structures increase the PEC performance by producing novel band alignment for efficient electron–hole separation following enhanced visible-range photon absorption.