ZnSe nanoparticles (NPs) were prepared by combining both hydrothermal and mechanical milling methods. Transmission electron microscopy images show that fabricated ZnSe NPs with a sphere-like shape have an average size (d) in the range of 20–100 nm, affected by changing the milling time from 10 to 60 min. All the samples crystalize in zincblende-type structure without impurities, as confirmed by analyzing X-ray diffraction patterns, Raman spectra, and energy-dispersive X-ray spectroscopy. Carefully checking Raman spectra, we have observed the broadening and redshift of vibration modes as decreasing NP size, which are ascribed to extra appearance of disorder and defects. The photoluminescence study has found a blue emission at 462 nm attributed to the excitonic near-band edge and a broad defect-related emission around 520–555 nm. Increasing milling time leads to the decrease in the exciton-emission intensity, while the defect-related emissions increase gradually. Interestingly, as decreasing d, we have observed an improved photodegradation of Rhodamine B under UV irradiation, proving application potentials of ZnSe NPs in photocatalytic activity.