Selenium (Se), as an important quasi‐metal element, has attracted much attention in the fields of thin‐film solar cells, electrocatalysts and energy storage applications, due to its unique physical and chemical properties. However, the electrochemical behavior of Se in different systems from electrolytic cell to battery are complex and not fully understood. In this article, we focus on the electrochemical processes of Se in aqueous solutions, molten salts and ionic liquid electrolytes, as well as the application of Se‐containing materials in energy storage. Initially, the electrochemical behaviors of Se‐containing species in different systems are comprehensively summarized to understand the complexity of the kinetic processes and guide the Se electrodeposition. Then, the relationship between the deposition conditions and resulting structure and morphology of electrodeposited Se is discussed, so as to regulate the morphology and composition of the products. Finally, the advanced energy storage applications of Se in thin‐film solar cells and secondary batteries are reviewed, and the electrochemical reaction processes of Se are systematically comprehended in monovalent and multivalent metal‐ion batteries. Based on understanding the fundamental electrochemistry mechanism, the future development directions of Se‐containing materials are considered in view of the in‐depth review of reaction kinetics and energy storage applications.