We report the synthesis and thermal annealing of Si-core/ZnO-shell nanorods using a two-step process comprising the metal-assisted electroless etching of Si and the sputter deposition of ZnO. Transmission electron microscopy and X-ray diffraction analysis showed that the cores of the annealed core-shell nanorods were single crystal diamond cubic-type Si, whereas the shells of the annealed core-shell nanorods were single crystal wurtzite-type ZnO. The PL spectra of Si nanorods consisted of a broad red emission band and a weaker blue emission band. The major emission band of Si nanorods was shifted from 700 nm (in the red region) to 440 nm (in the violet region) by ZnO coating. The violet emission of the core-shell nanorods was enhanced in intensity considerably by annealing in an oxidizing atmosphere. The origin of the PL enhancement by annealing is also discussed.