The electrolysis of water to produce hydrogen is an important technique to replace traditional fossil fuel-based hydrogen production. This method efficiently converts electrical energy into chemical energy, it is ostensibly a promising candidate for addressing the energy crisis. Significant effort has been devoted to developing efficient electrocatalysts for water electrolysis. The exploration of suitable catalytic materials for the hydrogen evolution reaction (HER), oxygen evolution reaction (OER), and other bifunctional electrocatalytic reactions is crucial. Transition metal selenides (TMSes) have emerged as potential HER and OER electrocatalysts because of their unique electronic structures, which are beneficial for charge transfer, tuneable bandgaps, distinctive morphologies, and low-cost. This review discusses the mechanisms and performance comparisons of TMSes in overall water splitting under various pH conditions. From an industrial and commercial perspective, the catalytic performance of TMSes for the HER and OER is not ideal. Methods for preparing electrocatalytic materials and optimizing materials for overall water decomposition and modulation mechanisms have been introduced to improve electrocatalytic performance, such as element doping, carbon composites, bimetallic systems, morphology control, and heterogeneous interface engineering. Finally, the challenges and prospects of TMSes were discussed.