This study reports a novel CuSe-TiO2-GO composite, synthesized by a facile hydrothermal method at a controlled temperature, and investigates its electrochemical performance for supercapacitors (SCs) and photocatalytic behavior for degrading methylene blue (MB) dye. The compositional phase structure and chemical bond interaction were thoroughly investigated. The as-fabricated pristine, binary, and ternary composites underwent comprehensive characterization employing spectroscopic techniques and electrochemical analysis. Compared with pure and binary compounds (CuSe, TiO2, and binary CuSe-TiO2 composites), the ternary CuSe-TiO2-GO composites demonstrated a high degradation efficiency while degrading MB in less than just 80 min (240 min, 100 min, and 140 min, respectively). The photocatalytic activity of the ternary CuSe-TiO2-GO composites is enhanced due to the highly positive conduction band of CuSe, leading to the quick excitation of electrons to the conduction band of CuSe. Subsequently, graphene oxide (GO) left holes on the photocatalyst surface for MB, as GO assisted the photoexcited electron–hole pairs, resulting in enhanced photocatalytic performance. The CuSe-TiO2-GO electrode for the supercapacitor indicates a 310.6 F/g and 135.2 F/g capacitance when the discharge current upsurges from 1 to 12 A/g. The good photocatalytic and energy storage performance is due to the smaller charge transfer resistance, which promotes efficient separation of electron–hole pairs.