Glasses containing PbSe quantum dots have important prospective applications in the area of near infrared opto-electronic devices. ZnO plays an important, but complicated role in the preparation of quantum dot glass. We gave reasonable elaborations on the colour changes of the as-prepared and annealed glasses containing PbSe quantum dots. The as-prepared glasses presenting nearly black to transparent straw-yellow colours with rising ZnO content can be understood in terms of the conversion between PbSe and ZnSe; the colours of all annealed glasses turning very black can be well explained through thermodynamic calculations with the Gibbs-Helmholtz equation. Next, according to the results of X-ray diffraction, transmission electron microscopy and optical measurements, the sample with an introduction of 9.4 wt% ZnO possesses a maximum degree of crystallisation and the best optical properties among all samples.