Investigations into semiconductor nanomaterials from both an academic and industrial point of view are of great significance. Selenium (Se) nanostructures, as narrow bandgap semiconductors, have a variety of potential applications in the fabrication of many high-performance devices. The past decades have witnessed rapid development in new strategies for synthesizing Se nanostructures with controlled sizes, shapes, and structures, whose diverse structure-dependent nature enables functional Se nanomaterials to have great potentials for modern applications. This review focuses on the synthesis and morphology control of intriguing Se nanostructures, the latest progress in understanding the fundamental properties of Se nanostructures, and the recent advances in high-performance Se nanomaterial-based devices for diverse applications. Finally, the challenges and future opportunities for Se nanostructures and Se-related devices are also discussed.