For high-performance electrochemical energy storage and conversion applications, controllable nanoarchitecture arrays of the transition metal selenide on conductive substrates are attractive electrode materials. In this work, a heterostructure comprising of MnSe₂ nanorods over NiCo₂Se₄ nanosheets with a large specific surface area is rationally generated on nickel foam (NF) substrate (MnSe₂@NiCo₂Se₄) using a hydrothermal process. The formation mechanism of the MnSe₂@NiCo₂Se₄ heterostructure was also examined by adjusting the selenium feeding during the selenization process. The MnSe₂@NiCo₂Se₄-2 electrode exhibits remarkable capacitance (1078C g⁻¹ at 1 A g⁻¹), and superior cycle stability (90.7 % after 8000 cycles) as a result of the cooperative effect of MnSe₂ and NiCo₂Se₄. Furthermore, an asymmetric supercapacitor (ASC) was developed employing the improved MnSe₂@NiCo₂Se₄-2 and activated carbon materials (AC) as the positive electrode and negative electrode (MnSe₂@NiCo₂Se₄-2//AC), respectively, which has a high energy density of 63.2 Wh kg⁻¹ at a power density of 396 W kg⁻¹. The impressive performance indicates that the MnSe₂@NiCo₂Se₄ electrode has a bright potential in supercapacitors.