Fe2+-doped ZnSe nanoparticles, with varying concentrations of Fe2+ dopants, were prepared by the hydrothermal method and investigated using a multi-technique approach exploiting scanning electron microscopy (SEM), X-ray diffraction (XRD), and Raman spectroscopy, as well as measurement of the electrical transport properties and Seebeck coefficient (S). The doped nanoparticles appeared as variable-sized agglomerates on nanocrystallites upon SEM investigation for any doping level. Combined XRD and Raman analyses revealed the occurrence of a cubic structure in the investigated samples. Electric and thermoelectric (TE) transport investigations showed an increase in TE performance with an increase in Fe atom concentrations, which resulted in an enhancement of the power factors from 13 µWm−1K−2 to 120 µWm−1K−2 at room temperature. The results were also dependent on the operating temperature. The maximum power factor of 9 × 10−3 Wm−1K−2 was achieved at 150 °C for the highest explored doping value. The possible applications of these findings were discussed.