In this research, we investigated the microstructures, the photoluminescence (PL) and the nonlinear optical properties of semiconductor nanocomposites consisting of ZnO nanorods and CdS nanodots. The ZnO nanorods and the CdS nanodot-adsorbed ZnO nanorods were grown in an aqueous solution of Zn(NO3)2 and hexamethyltetramine (HMT) by using chemical bath deposition. The room-temperature PL spectra under 325-nm continuous wave excitation showed an UV emission band with a peak at 3.25 eV and a band width of 160 meV, while the PL spectra at a low temperature of 10 K exhibited multiple bands with enhanced PL intensities. These results are thought to be related to the near-band-edge emission that originates from exciton transitions. From femtosecond Z-scan measurements at a wavelength of 800 nm, the ZnO nanorods exhibit nonlinear absorption due to three-photon absorption, and the CdS nanodot-adsorbed ZnO nanorods show the saturable absorption due to the exciton bleaching effect of the CdS nanodots.