Rechargeable magnesium‐selenium (Mg‐Se) batteries are characterized by high theoretical volumetric specific capacity, good cycling stability, and economical effectiveness. However, great challenges including limited capacity, low Coulombic efficiency, and short cycle life are encountered due to sluggish electrochemical kinetics and severe polyselenide shuttles. Herein, the active Se is encapsulated in hollow V2O3 microspheres and then connected by reduced graphene oxide (rGO) conductive network as the mixed‐dimensional cathode materials to accelerate reversible Se redox chemistry for high‐performance Mg‐Se batteries. Rich oxygen vacancies are generated within hollow porous V2O3 microspheres during their phase transformation under reductive atmosphere. The unique three‐/two‐dimensional (3D/2D) heterostructure of the Se‐loaded cathode materials (Se‐V2O3/G‐Vo) can facilitate Mg2+ diffusion and charge transfer, and also provide rich reaction sites for the polyselenide conversion. Additionally, the defect‐rich structure can deliver strong adsorption ability and abundant catalytic sites for reversible polyselenide conversion. Consequently, the Se‐V2O3/G‐Vo cathode materials show high reversible capacity of 580 mAh g−1 with 99.1% capacity retention at 200 mA g−1 current density after 80 cycles. This work should enlighten the design concept of metal oxide and graphene as Se‐based cathode materials for high‐rate and long‐life Mg‐Se batteries.