The self-assembly of novel core-shell nanoensembles consisting of regioregular poly(3-hexylthiophene) nanoparticles (P3HTNPs) of 100 nm as core and semiconducting CdTe quantum dots (CdTeQDs) as shell with a thickness of a few tens of nanometres was accomplished by employing a re-precipitation approach. The structure, morphology and composition of CdTeQDs/P3HTNPs nanoensembles were confirmed by high-resolution scanning transmission microscopy and dynamic light scattering studies. Intimate interface contact between the CdTeQDs shell and the P3HTNPs core leads to the stabilization of the CdTeQDs/P3HTNPs nanoensemble as probed by steady-state absorption spectroscopy. Effective quenching of the characteristic photoluminescence of CdTeQDs at 555 nm, accompanied by simultaneous increase of emission of P3HTNPs at 660 and 720 nm, reveals photoinduced charge-transfer processes. Probing the redox properties of films of CdTeQDs/P3HTNPs further proves the formation of a stabilized core-shell system in the solid-state. Photoelectrochemical assays on CdTeQDs/P3HTNPs films show a reversible on-off photoresponse at a bias voltage of +0.8 V with a three times increased photocurrent compared to CdTeQDs. The improved charge separation is directly related to the unique core-shell configuration, in which the outer CdTeQDs shell forces the P3HTNPs core to effectively act as electron acceptor. The creation of novel donor-acceptor core-shell hybrid materials via self-assembly is transferable to other types of conjugated polymers and semiconducting nanoparticles. This work, therefore, opens new pathways for the design of improved optoelectronic devices.