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A coupling structure of CdSe quantum dots (QDs) and a ZnCdSe quantum well (QW) is fabricated by using the molecular-beam epitaxy technique. The effect of temperature on the photoluminescence (PL) of the structure is studied. The results reveal that the activation energy of exciton dissociation in the coupling QDs/QW structure is much higher than that of simple CdSe QDs, which is attributed to the exciton tunnelling from the QW to QDs through a thin ZnSe barrier layer. The results also reveal that the position and width of the emission band of the QDs vary discontinuously at certain temperatures. This phenomenon is explained by the QD ionization and exciton tunnelling from the QW to the QDs. It is demonstrated that the coupling structure significantly improves the PL intensity of CdSe QDs.