A facile one-step method for the synthesis of a water-soluble selenium/polypyrrole (Se/PPy) nanocomposite was developed. In the aqueous synthesis process, the pyrrole acted as a reductant for the reduction of H2SeO3, and then the elemental Se formed in situ acted as a catalyst for the polymerization of pyrrole. The characterization results show that the as-obtained composite (Se/PPy) is a spherical (Φ80 nm) product that is made up of amorphous Se particles coated by PPy layers. The formation mechanism and influence factors of the products were discussed, based on a series of experiments. It is proposed that remainder H2SeO3 adsorbed on the PPy chains increased the water-solubility and conductivity of the Se/PPy nanocomposite. Significantly, relying on the synergistic effect of photo-conductive Se nanoparticles and electric-conductive PPy molecules, the Se/PPy nanocomposite possesses a large two-photon absorption (2PA) cross-section and good optical limiting properties, which were demonstrated by the Z-scan technique using a femtosecond laser. We believe that this work should be an interesting strategy for developing polymer composites with excellent optoelectrical properties.