Owing to their remarkable multiple exciton generation (MEG) yield, PbSe nanorods (NRs) have been considered as one of the most promising materials to overcome the Shockley-Queisser limit. Unfortunately, assessing the direct role of the PbSe NRs in solar cell designs has been challenging due to their unoptimized film microstructure and poor performances. Here we devise a cell architecture that overcomes these limitations by inserting an electron blocking quantum dot (QD) layer to the NR/metal interface. Further enhancement was achieved by creating a bulk nano-heterojunction (BNHJ) platform comprising the covalently bonded PbSe NRs-donors and PbSe QDs-acceptors. The overall benefit of the exciton cascade, enabling an efficient non-radiative energy transfer, was evidenced through a photocurrent enhancement at energies where the hot exciton generation is expected to take place, that is >= 2E(g) (E-g = band gap). Resulting BNHJ solar cells exhibit 2.42% efficiency and a peak internal quantum efficiency of 100% with a threshold photon energy of 2.9 E-g, outperforming the present cells comprising the NRs with similar band gaps. This proof-of-principle demonstrates that the concept of BNHJ has a practical potential and a breakthrough in the design of the MEG-based solar cells.