With a high surface area and unique electronic (quasiparticle band-gap) properties, few-layered MoSe2 nanosheets have great potential as an advanced electrode material for supercapacitors and energy storage applications. MoSe2@5%rGO exhibits a reversible specific capacity of 458.3 mAh·g–1 at 100 mA·g–1, great cyclability with a retention of 383.6 mAh·g–1 over 50 cycles, and excellent rate capability (251.3 mAh·g–1 at 5 A·g–1) for sodium-ion batteries. Chemically-exfoliated MoSe2 nanosheets possess an obvious NIR absorption peak, leading to effective photothermal therapy of human lung cancer.