The evidence and evolution of magnetic polarons (MPs) in HgCr2Se4 have been studied by electron spin resonance (ESR), magnetism and conductivity measurements in a temperature range of 5-300 K. A single paramagnetic resonance line is observed in the high-temperature range while multiple resonance lines appear in the low-temperature range. As temperature decreases, the peak-to-peak linewidth ΔH pp shows a minimum at T min ≈ 210 K, with the activation energy fitted by small polaron hopping model consistent with the bottleneck mechanism, providing an evidence for existence of small MPs above T min. The analysis of the temperature dependence of ΔH pp, double integrated intensity I, and g factor of ESR signals, combined with the temperature dependence of magnetization and conductivity, reveals an evolution process from small MPs at zone I (T > T min) to correlated MPs at zone II (T c < T * ⩽ T ⩽ T min) in the paramagnetic regime. Three critical temperatures, T min (≈210 K), T th (≈175 K), and T * (≈121 K), which determine the evolution characteristics of MPs, are distinguished. The magnetic correlation length ξ of Cr3+-Se2--Cr3+ should account for the evolution of MPs.