Hydrogen peroxide (H2O2) is a highly value‐added and environmental‐friendly chemical with various applications. The production of H2O2 by electrocatalytic 2e− oxygen reduction reaction (ORR) has emerged as a promising alternative to the energy‐intensive anthraquinone process. High selectivity Catalysts combining with superior activity are critical for the efficient electrosynthesis of H2O2. Earth‐abundant transition metal selenides (TMSs) being discovered as a classic of stable, low‐cost, highly active and selective catalysts for electrochemical 2e− ORR. These features come from the relatively large atomic radius of selenium element, the metal‐like properties and the abundant reserves. Moreover, compared with the advanced noble metal or single‐atom catalysts, the kinetic current density of TMSs for H2O2 generation is higher in acidic solution, which enable them to become suitable catalyst candidates. Herein, the recent progress of TMSs for ORR to H2O2 is systematically reviewed. The effects of TMSs electrocatalysts on the activity, selectivity and stability of ORR to H2O2 are summarized. It is intended to provide an insight from catalyst design and corresponding reaction mechanisms to the device setup, and to discuss the relationship between structure and activity.