Air pollution is a big concern as it causes harm to human health as well as environment. NO₂ can cause several respiratory diseases even in low concentration and therefore an efficient sensor for detecting NO₂ at room temperature has become one of the priorities of the scientific community. Although two dimensional (2D) materials (MoS₂ etc.) have shown potential for NO₂ sensing at lower temperatures, but these have poor desorption kinetics. However, these limitations posed by slow desorption can be overcome, if a material in the form of a p-n junction can be suitably employed. In this work, ~150 nm thick SnSe₂ thin film has been deposited by thermally evaporating in-house made SnSe₂ powder. The film has been studied for its morphological, structural and gas sensing applications. The morphology of the film showed that the film consists of interconnected nanostructures. Detailed Raman studies further revealed that SnSe₂ film had 31% SnSe. The SnSe-SnSe₂ nanostructured sensor showed a response of ~112% towards 5 ppm NO₂ at room temperature (30 °C). The response and recovery times were ~15 seconds and 10 seconds, respectively. Limit of detection for NO₂ was in sub-parts per million (sub-ppm) range. The device demonstrated a better response towards NO₂ compared to NH₃, CH₄, and H₂. The mechanism of room temperature fast response, recovery and selective detection of NO₂ independent of humidity conditions has been discussed based on physisorption, charge transfer, and formation of SnSe-SnSe₂ (p-n) nano-junctions. Depositing a nanostructured film consisting of nano-junctions using an industrially viable thermal evaporation technique for sensing a very low concentration of NO₂ is the novelty of this work.