Recently, composite electrocatalytic hydrogen evolution materials have received a lot of attention, especially the composite material of transition metal dichalcogenides. In this article, CoSe/MoSe2 was successfully synthesized by a simple two‐step hydrothermal method, then the nanostructure and chemical composition of the composite was characterized by X‐ray diffraction (XRD), X‐ray photoelectron spectroscopy (XPS), field emission scanning electron microscopy (FESEM) and high‐resolution transmission electron microscopy (HRTEM). Compared to pure MoSe2 and CoSe, CoSe/MoSe2 exhibits excellent catalytic. The current density of 10 mA cm−2 could be reached at low overpotentials of 192 and 115 mV in acidic and alkaline electrolytes, respectively. In addition, such composite has a small Tafel slope and low electron transport resistance, which indicates that CoSe/MoSe2 has a high hydrogen dissociation rate. Furthermore, it shows high cycling stability.