Conventional two‐dimensional electron gas (2DEG) typically occurs at the interface of semiconductor heterostructures and noble metal surfaces, but it is scarcely observed in individual 2D semiconductors. In this study, few‐layer gallium selenide (GaSe) grown on highly ordered pyrolytic graphite (HOPG) is demonstrated using scanning tunneling microscopy and spectroscopy (STM/STS), revealing that the coexistence of quantum well states (QWS) and 2DEG. The QWS are located in the valence bands and exhibit a peak feature, with the number of quantum wells being equal to the number of atomic layers. Meanwhile, the 2DEG is located in the conduction bands and exhibits a standing‐wave feature. Additionally, monolayer GaSe/HOPG heterostructures with different stacking angles (0°, 33°, 8°) form distinct moiré patterns that arise from lattice mismatch and angular rotation between adjacent atomic layers in 2D materials, which effectively modulate the electron effective mass, charge redistribution, and band gap of GaSe. Overall, this work reveals a paradigm of band engineering based on layer numbers and moiré patterns that can modulate the electronic properties of 2D materials.