Zinc‐air batteries are gaining popularity as viable energy sources for green energy storage technologies. The cost and performance of Zn‐air batteries are mostly determined by the air electrodes in combination with an oxygen electrocatalyst. This research aims at the particular innovations and challenges relating to air electrodes and related materials. Here, a nanocomposite of ZnCo2Se4@rGO that exhibits excellent electrocatalytic activity for the oxygen reduction reaction, ORR (E1/2 = 0.802 V), and oxygen evolution reaction, OER (η10 = 298 mV@10 mA cm−2) is synthesized. In addition, a rechargeable zinc‐air battery with ZnCo2Se4@rGO as the cathode showed a high open circuit voltage (OCV) of 1.38 V, a peak power density of 210.4 mW cm−2, and outstanding long‐term cycling stability. The electronic structure and oxygen reduction/evolution reaction mechanism of the catalysts ZnCo2Se4 and Co3Se4 are further investigated using density functional theory calculations. Finally, a perspective for designing, preparing, and assembling air electrodes is suggested for the future developments of high‐performance Zn‐air batteries.