To understand the application of transition metal based diselenide for electrochemical applications, NiCoSe2 is proposed as an excellent candidate with interesting physical and chemical properties. In this work, we have demonstrated the synthesis of NiCoSe2, NiCo2S4, and NiCo2O4 with different structures by using a simple hydrothermal method and further used as the electrode materials for electrochemical sensor and supercapacitor applications. For the first time, NiCoSe2 was used as a working electrode material to study the electrochemical sensing of hydrogen peroxide (H2O2), and successively compared with the sensing response obtained at NiCo2O4 and NiCo2S4 modified electrodes. Especially, the detailed electrochemical kinetics of NiCo2O4, NiCo2S4, and NiCoSe2 electrodes were comparatively studied. The obtained results clearly indicate an excellent electrocatalytic activity of NiCoSe2 towards the electrochemical sensing of H2O2 than that of NiCo2O4 and NiCo2S4. The NiCoSe2 modified electrode exhibited an ultra-low detection limit (0.03 μM) and sensitivity (8.46 μA μM−1 cm−2) of H2O2. Additionally, we reported an excellent specific capacitance (1408.5 F g−1), higher specific surface area (94.81 m2/g) and lower charge transfer resistance (Rct = 0.13 Ω) of NiCoSe2. Finally, we scrutinized that the NiCoSe2 is a promising electrode material for both electrochemical sensor and supercapacitor applications.