SnSe is a promising thermoelectric material with record-breaking figure of merit. However, to date a comprehensive understanding of the electronic structure and most critically, the self-hole-doping mechanism in SnSe is still absent. Here we report the highly anisotropic electronic structure of SnSe investigated by angle-resolved photoemission spectroscopy, in which a unique pudding-mould-shaped valence band with quasi-linear energy dispersion is revealed. We prove that p-type doping in SnSe is extrinsically controlled by local phase segregation of SnSe2 microdomains via interfacial charge transferring. The multivalley nature of the pudding-mould band is manifested in quantum transport by crystallographic axis-dependent weak localisation and exotic non-saturating negative magnetoresistance. Strikingly, quantum oscillations also reveal 3D Fermi surface with unusual interlayer coupling strength in p-SnSe, in which individual monolayers are interwoven by peculiar point dislocation defects. Our results suggest that defect engineering may provide versatile routes in improving the thermoelectric performance of the SnSe family.