 In this work, the synthesis of Co–Fe–Se ultrathin nanosheet-fabricated microspheres was reported for the first time as electrocatalysts toward hydrogen evolution reaction (HER). The Co–Fe–Se ternary compounds exhibited high electrocatalytic activity of HER with low onset potential in acid media due to the high specific surface area of Co–Fe–Se ultrathin nanosheet-fabricated microspheres. The presence of multiwall carbon nanotubes improved the immobilization effect of Co–Fe–Se catalysts and electron transfer between catalysts and electrode surface, leading to the improved stability and HER electrocatalysis. The non-noble metal-based ternary compounds of Co–Fe–Se obtained from earth-abundant elements may enlighten a new way of exploring cost-effective catalysts for HER to develop hydrogen energy.