We report the synthesis of new nanoheterostructures consisting of lanthanide-doped NaYF(4) nanocrystals dendritically decorated with CdSe quantum dots. Strong coupling between NaYF(4):Yb,Er and CdSe leads to up-conversion of near-IR photons and subsequent energy transfer from lanthanide nanocrystals to CdSe. This is manifested in characteristic CdSe emission and leads to pronounced photoconductivity of the films upon sub-band-gap irradiation at 980 nm.