Nanocomposite ZnO–Se thin film has been successfully fabricated by pulsed laser deposition method. The electrochemical behavior is investigated by galvanostatic cycling and cyclic voltammetry. The reversible specific capacity of ZnO–Se/Li cells cycled between 0.01 and 3.5V is found to be 505mAhg−1 with good capacity retention. Nanocomposite ZnO–Se thin film electrode exhibits much better electrochemical performance than pure ZnO. The reversible oxidation/reduction reaction of ZnO and selenidation/reduction reaction of ZnSe are revealed in the electrochemical reaction mechanism of nanocomposite ZnO–Se with lithium.