With the urgent demand for clean energy, rechargeable zinc–air batteries (ZABs) are attracting increasing attention. Precious-metal-based electrocatalysts (e.g., commercial Pt/C and IrO2) are reported to be highly active towards the oxygen reduction reaction (ORR) and oxygen evolution reaction (OER). Nevertheless, the limited catalytic kinetics, along with the scarcity of noble metals, still hinder the practical applications of ZABs. Consequently, it is of great importance to explore efficient bifunctional ORR/OER electrocatalysts with abundant reserves. Although iron oxides are considered to have some of the greatest potential as catalysts among the metal oxides, owing to their excellent redox properties, lower toxicity, simple preparation, and natural abundance, their poor electrical conductivity and high agglomeration still limit their development. In this work, we report a special Se quantum dots@ CoFeOx (Se-FeOx-Co) composite material, which exhibits outstanding bifunctional catalytic properties. And the potential gap between ORR and OER is low at 0.87 V. In addition, the ZAB based on Se-FeOx-Co achieves a satisfactory open-circuit voltage (1.46 V) along with an operation durability over 800 min. This research explores an effective strategy to fabricate iron oxide-based bifunctional catalysts, which contributes to the future design of related materials.