A visible‐light mediated multicomponent cascade reaction of diselenides, alkynes, and sulfur dioxide was developed, in which multiple C−Se and C−S bonds were constructed, and unexpected β‐sulfonylvinylselane compounds were generated with high selectivity for E configuration. β‐Sulfonylvinylselane transformation into 1,4‐oxathiine‐4,4‐dioxide and sulfonylethyne derivates was then investigated. A plausible mechanism involving a selenium radical‐initiated cascade reaction and sulfur dioxide insertion was proposed.