Constructing heterojunction to adjust the electronic structure of catalysts is a promising strategy for synergistically improving electrocatalytic activity. In addition, RuSe2 is recognized as an effective alternative to Pt for boosting alkaline hydrogen evolution reaction (HER) on account of its outstanding catalytic properties. Herein, novel RuSe2/CeO2 heterojunction electrocatalysts are fabricated through hydrothermal and thermal treatment methods. The optimal 50% RuSe2/CeO2 heterojunction electrocatalyst exhibits a low HER overpotential of 16 mV to attain 10 mA cm−2 current density and Tafel slope of 66.1 mV dec−1 for hydrogen evolution in 1.0 M KOH. At the same time, the 50% RuSe2/CeO2 heterojunction electrocatalyst also maintains a stable HER activity for 50 h or 3000 CV cycles. The experimental results show that formation of heterogeneous interface between RuSe2 and CeO2 results in the redistribution of electrons at the RuSe2/CeO2 interface, thereby changing the electronic structure of RuSe2 and enhancing the performance of the RuSe2/CeO2 electrocatalyst. This work may provide a feasible way to design efficient hydrogen evolution heterojunction electrocatalysts by modulating the electronic structure in alkaline electrolytes.