CdSe/Se multilayer thin films were prepared using sequential thermal evaporation technique by varying the thickness of selenium sublayers. Identifying the prominent peaks observed in the XRD spectra of the top layer CdSe which corresponds to the (100) plane with wurtzite structure, the average size of the crystallites was calculated for the CdSe nanocrystals. Experimentally measured band gaps are larger than bulk band gap of CdSe. This confirms the presence of spin-orbit splitting of energy levels. Size of the crystallites was then calculated with the theoretical prediction of the effective mass approximation model (i.e., Brus model). It resulted in that the diameters of crystallites were much smaller than the Bohr exciton diameter (11.2 nm) of CdSe. Thus, the structural and optical properties of CdSe/Se multilayer thin films reveal the effect of quantum confinement of CdSe crystallites in Se matrix for various sublayer thicknesses. Confinement effect is more pronounced while sublayer thickness of selenium increases.