Novel catalytic materials are under investigation to find convincing energy alternatives. In this context, transition metal selenides (TMSes) are found to be feasible, ecofriendly, and effective electrocatalysts with futuristic characteristics. A deep and comprehensive investigation on metal selenides for energy conversion and storage application is summarized in this review article. Different methods such as hydrothermal, solvothermal, coprecipitation, hot injection, successive ionic layer adsorption reaction, polyol, and others can be used for the synthesis of metal selenides based electrocatalysts, with different morphologies and compositions. The morphology of metal selenides is strongly controlled by factors such as reaction time, temperature, pH of the reaction medium, and surfactant. The electrochemical applications of metal selenides are governed by morphology, active spots for reaction, surface engineering, and confinement. It is concluded that TMSes deliver high performance with large surface area, which is possible due to their porous or 3D morphology. The TMSes with multimetal or with doping metal/nonmetals perform better compared to single atoms. It is concluded that the reaction mechanism of hydrogen evolution reaction and oxygen evolution reaction is a primary tool to better understand the system to develop more efficient catalysts for practical application.