The effects of the simultaneous incorporation of Cu and O in CdSe films grown by sputtering are presented. The Cu and O contents varied between 1 and 5 at.% in films deposited at 150, 200, 250 and 300 °C. Concentrations of 2, 3, 4 and 5 at.% of CuO in the target promoted the formation of copper selenide clusters immersed within the CdSe:Cu:O host. Energy considerations (enthalpy of formation and bond dissociation energy) were used to discuss the absence of copper oxide and the formation of copper selenide aggregates, as well as the film thickness dependence on the concentration of CuO in the target. The band gap of the films ranged from 1.21 to 2.07 eV, depending upon growth conditions. Significant below-band-gap absorption was observed which was ascribed to the copper selenide micro and nano clusters. Good crystalline quality of the films, for high substrate temperatures, was evidenced through the appearance of overtones of the vibrational longitudinal optic modes detected by Raman micro spectroscopy. It was determined that the electronic properties, optical transmission and electrical conductivity depended on the chemical composition and crystalline structure. This characteristic is relevant because through copper and oxygen co-doping is possible to control these technologically important physical properties of CdSe in a simple and reliable manner.