The urgent demand of scalable hydrogen production has motivated substantial research on low cost, efficient and robust catalysts for water electrolysis. In order to replace noble metals and their derivatives, transition metal (Fe, Co, Ni, Mo, Cu, etc.) selenides have demonstrated promising catalysis on both hydrogen and oxygen evolutions. Very recently, a number of reports have presented a variety of approaches to enhance their electrocatalytic activity. This review summarizes the most recent progress in transition metal selenide electrocatalysts for HER, OER, and overall water splitting. The merits and limitations of metal selenides are also discussed in the aspects of structure and composition. Moreover, we highlight new strategies and future challenges for design and synthesis of high performance electrocatalysts.