We develop a facile one-step hydrothermal method to directly grow interconnected Co0.85Se nanosheets on nickel foam as electrode for supercapacitors. The Co0.85Se electrodes exhibit a high specific capacitance (1528 F g-1 at 1 A g-1 and 715 F g-1 at 20 A g-1), excellent cycling stability (92% retention after 5000 cycles) and good conductivity. Moreover, an asymmetric supercapacitor (ASC) is fabricated using Co0.85Se nanosheets as the positive electrode and active carbon (AC) as the negative electrode. The ASC also exhibits excellent electrochemical performance with high energy density (∼45 Wh kg−1), high power density (16 kW kg-1) and remarkable cycling stability (∼10.9% loss after 5000 cycles). Furthermore, two ASCs connected in series are capable of lighting a red LED at least for 5 min after being charged for only 15 s to 3.2 V. This work demonstrates that the interconnected Co0.85Se nanosheets with three-dimensional porous structures are promising electrodes for high-performance supercapacitors with large energy density.