Ultrathin molybdenum diselenide nanosheets are decorated on the surface of multi-walled carbon nanotubes (MWCNT) via a one-step hydrothermal method. Uniform MoSe2 nanosheets are firmly anchored on MWCNT according to the characterizations of scanning electron microscope (SEM), transmission electron microscope (TEM). When evaluated as anodes for sodium storage, the MoSe2@MWCNT composites deliver a reversible specific capacity of 459 mAh g−1 at a current of 200 mA g−1 over 90 cycles, and a specific capacity of 385 mAh g−1 even at a current rate of 2000 mAh g−1, which is better than the MoSe2 nanosheets. The enhanced electrochemical performance of the MoSe2@MWCNT composites can be ascribed to the synergic effects of MoSe2 nanosheets and MWCNT. The high capacity and good rate performance reveal that the MoSe2@MWCNT composites are very promising for applications in sodium-ion batteries.