In this study, we report novel Ni_0.85Se@MoSe₂ nanosheet arrays prepared by a facile one-step hydrothermal method through nickel (Ni) foam as Ni precursor and the framework of MoSe₂. Owing to the unique interconnection and hierarchical porous nanosheet array architecture, the Ni_0.85Se@MoSe₂ nanosheet arrays exhibit a high specific capacitance of 774 F g^–1 at the current density of 1 A g^–1, which is almost 2 times higher than that (401 F g^–1) of the Ni_0.85Se matrix and about 7 times greater than that (113 F g^–1) of the MoSe₂ nanoparticles. Moreover, we report an asymmetric supercapacitor (ASC), which is fabricated by using the Ni_0.85Se@MoSe₂ nanosheet arrays as the positive electrode and the graphene nanosheets (GNS) as the negative electrode, with aqueous KOH as the electrolyte. The Ni_0.85Se@MoSe₂//GNS ASC possesses an output voltage of 1.6 V, an energy density of 25.5 Wh kg^–1 at a power density of 420 W kg^–1, and a cycling stability of 88% capacitance retention after 5000 cycles. These results indicate that the Ni_0.85Se@MoSe₂ nanosheet arrays are a good electrode for supercapacitors.