We have demonstrated an efficient method to prepare high-quality CdHgTe alloyed nanocrystals (NCs) by making use of a large difference in the solubility between CdTe and HgTe in aqueous medium. The resultant NCs show a gradient quasi "core/shell" structure in which the "core" is rich in HgTe and the "shell" is rich in CdTe. This unique structure makes the photoluminescence (PL) quantum yield (QY) of CdHgTe NCs up to 45% and remarkably improves their stability. The excellent stability of CdHgTe NCs allows for the successful preparation of NC-polymer bulk composites with intense PL in the near-infrared spectral region (tunable from 1100 to 1400 nm) upon excitation at 550 nm. Not only is the difficulty of preparing the CdHgTe NC - polymer bulk composites overcome, but also the composites show excellent thermal and luminescent stabilities, which is of importance for their future applications.