The synthesis of PbSe nanocrystals by electrodeposition on Au(111) is discussed and it is shown that the characteristics of nucleation and growth determine the electrical and optical properties of the nanocrystals. Electrodeposition of PbSe on gold occurs by a two-dimensional nucleation and growth mechanism. This results in strongly flattened structures. These nanocrystals have a staircase-like electron density of states, typical for a quantum well, and the dielectric function of the PbSe nanocrystals shows a marked dependence on the nanocrystal height. Using electronic structure calculations, we demonstrate that these observations are due to quantum confinement in one direction, in agreement with the shape of the nanocrystals.