The goal of this work is to produce innovative copper nickel tin selenium layers (Cu2NiSnSe4) with different thicknesses (217, 329, 431, and 542 nm) by using a thermal evaporation approach. According to the X-ray diffraction results, the as-prepared Cu2NiSnSe4 thin films are polycrystalline, with a single Cu2NiSnSe4 phase with a tetragonal structure present in all films. Meanwhile, FE-SEM was used to examine the Cu2NiSnSe4 films’ morphology and the uniformity of their surface. The optical parameters of the Cu2NiSnSe4 samples were estimated by the Swanepoel envelope method. Additionally, the refractive index of the thin Cu2NiSnSe4 layers grows when the thickness of these layers’ increases. The energy gap characterization showed a direct optical transition in Cu2NiSnSe4 samples and as the thickness of these samples increased, the energy gap decreased from 1.49 to 1.41 eV. Moreover, enlarging the thickness of the Cu2NiSnSe4 samples improved their optoelectrical indices and nonlinear optical characteristics. Further, the DC conductivity analysis exposed that the values of the activation energy of the thin Cu2NiSnSe4 films diminished as the sample thickness grew from 217 to 542 nm. Furthermore, an ITO/CdS/Cu2NiSnSe4/Au heterojunction with an efficiency of 6.44% was created using the Cu2NiSnSe4 film of thickness 542 nm.