In this paper, we report on the growth and characterization of quantum dot-quantum well nanostructures with photoluminescence (PL) that is tunable over the visible range. The material exhibits a PL efficiency as high as similar to 60% and is prepared by reacting ZnS nanocrystals in turn with precursors for CdSe and ZnS in an attempt to form a simple "ZnS/CdSe/ZnS quantum-well structure". Through the use of synchrotron radiation-based photoelectron spectroscopy in conjunction with detailed overall compositional analysis and correlation with the size of the final composite nanostructure, the internal structure of the composite nanocrystals is shown to consist of a graded alloy core whose composition gradually changes from ZnS at the very center to CdSe at the onset of a CdSe layer. The outer shell is ZnS with a sharp interface, probably reflecting the relative thermodynamic stabilities of the parent binary phases. These contrasting aspects of the internal structure are discussed in terms of the various reactivities and are shown to be crucial for understanding the optical properties of such complex heterostructured nanornaterials.