In view of recent environmental concerns, development of sustainable as well as renewable energy sources, such as the production of hydrogen through electro-reduction of water and energy storage devices in particular high power density as well as eco-friendly supercapacitors have become exigency for energy security. Herein, cobalt selenides (CoSe 2 ) and their carbon allotropic heterostructures have been synthesized and explored for bifunctional applications. The designed CoSe 2 /rGO/MWCNT heterostructure with an effective interface construction possessed enhanced HER (η 20 :131 mV, Tafel slope: 52 mV/ dec, stable up to ∼8.5 h) in alkaline pH. Owing to its storage performance, the asymmetric CoSe 2 /rGO/MWCNT//F-MWCNT device also proved to have excellent high capacitance (23.73 F/g at mass normalized current density of 30 A/g), high energy density (44.64 Wh/kg at a power density of 22.32 W/kg @ 6 A/g), and good cycling stability (91.03% capacitance retention after 3000 cycles). The experimental data are also supported by the results from density functional theory simulations in terms of the computed overpotential for HER activity and the quantum capacitance for charge storage performance. The interactions between CoSe 2 and carbon allotropes CNT/rGO are due to charge transfer from the Co 3d orbital of CoSe 2 to the C 2p orbital. Because of this interaction, the density of states shows enhancement near the Fermi level for hybrid structures, which indicates an increase in the conductivity of the material. The theoretical computed overpotential for HER activity follows the trend CoSe 2 > CoSe 2 /MWCNT > CoSe 2 /rGO > CoSe 2 /rGO/ MWCNT, supporting the experimental data. Also, the quantum capacitance is highest for the ternary heterostructure CoSe 2 /rGO/ MWCNT, justifying its superior charge storage performance as obtained from the experimental data. This work provides technological insights into the design of an efficient and cost-effective catalyst for sustainable hydrogen production and flexible energy storage applications.