Iron diselenide (FeSe2) has been of recent interest as a potentially useful electrode material. Here we demonstrate, for the first time, the synergistic effect between multi-walled carbon nanotubes (MWCNT) and FeSe2 in a form of MWCNT/FeSe2 composite, for the heterogeneous electron transfer (HET) reaction with the [Ru(NH3)6]3+/2+ redox probe and the electrochemical hydrogen evolution reaction (HER) in acidic media. Plain FeSe2 and the MWCNT/FeSe2 composite were synthesized using a one-pot hydrothermal method. Although all electrode materials (pristine MWCNT, FeSe2, and MWCNT/FeSe2) show a quasi-reversible electrode behavior, MWCNT/FeSe2 has a smaller peak separation potential and exhibits an enhanced HET rate constant, k 0 = 5.4 × 10−3 cm/s, which is 3.2 and 1.6 times higher than that of FeSe2 and MWCNT, respectively. Similarly, the HER performance of the composite demonstrates a smaller Tafel slope of 70 mV/dec and a reduced overpotential. We anticipate that such promising outcome can be further improved by employing different morphologies of FeSe2 and engineered interaction with other conductive supports suitable for their applications in electrochemical sensing and energy conversion.