Selenium nanoparticles are encapsulated uniformly with reduced graphene oxide (Se@RGO) by a simple self-assembly process. The Se@RGO composite has as high as 80 wt% of Se, which is much larger than that of other selenium-based cathode materials. The Se@RGO cathode delivers high capacity and rate capability in a Li–Se battery because of the large capacity of Se, highly dispersed Se nanoparticles in the RGO framework and high conductivity of Se and RGO nanocomposite cathode. A large initial discharge capacity of 533 mAh g−1 at 0.2C was produced based on the total mass of Se@RGO nanocomposites and the capacity could remain at 265 mAh g−1 after 200 cycles at 0.2C and additional 300 cycles at 1C. The electrode also shows an excellent capacity of 250 mAh g−1 at 5C (∼3.4 A g−1). The superior electrochemical performance suggests that the Se@RGO composite is a promising cathode in high-energy and high-power Li–Se battery.