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With the massive consumption of fossil fuels, energy crisis and effectively reducing CO2 to curb global warming have become urgent and severe problems in the world. Photocatalytic conversion of CO2 technology which can convert CO2 into combustible compounds by using solar energy can solve both of the problems mentioned above. However, the photocatalytic conversion of CO2 exhibits too low efficiency, especially under visible light. So, in order to improve the photocatalytic efficiency, the composite photocatalysts of TiO2 nanotube array (TNTA) sensitized by CdS/ZnS quantum dots (QDs) were successfully prepared by anodization method and successive ionic layer adsorption and reaction (SILAR) method in this work. And the composite photocatalysts exhibited a high performance for photocatalytic conversion of gas-phase CO2 to methanol under visible light. X-ray diffraction (XRD), field emission scanning electron microscope (FE-SEM), energy-dispersive X-ray spectroscopy (EDS), transmission electron microscope (TEM), and X-ray photoelectric spectroscopy (XPS) were employed to characterize the ingredients and morphologies of the synthesized photocatalysts. And, UV–vis diffuse reflectance spectra (UV–Vis DRS) revealed that CdS/ZnS QDs enhanced the photo-absorption of composite photocatalyst in the visible light region. The main product methanol yield of CdS/ZnS-TNTA under visible light was 2.73 times that of bare TNTA when TNTA was treated by 10 SILAR cycles. Meanwhile, the product yield first increased before decreasing with the increase of the CO2 flow rate. And the greatest product yield reached up to 255.49 nmol/(cm2-cat·h) with the increase of light intensity. The reaction mechanism was discussed in this paper. This high performance for photocatalytic reduction of CO2 was primarily attributed to the CdS/ZnS QDs sensitization, which widens the response wavelength range of the catalyst to include visible light and partly inhibits the recombination of electron-hole pairs.