Glycerol oxidation reaction (GOR) coupled with hydrogen generation simultaneously is a promising strategy for developing sustainable energy conversion technologies, but the complexity of glycerol oxidation products and the high coupling hydrogen evolution potential limit its wide application. In this paper, a self-supported high-entropy selenide electrode can be fabricated via a simple hydrothermal process. Then, the prepared electrode as an advanced catalyst displays optimal catalytic activity (1.20 V at 10 mA·cm−2) and high selectivity for the formation of formate in GOR. The results show that the lattice distortion effect of high entropy materials composed of multiple elements is mainly responsible for the greatly improved catalytic activity and selectivity for GOR. Moreover, an advanced alkali-acid hybrid electrolytic cell was assembled that enables efficient energy-saving hydrogen generation and GOR simultaneously. Herein, the electrolyzer requires only 0.5 V applied voltage to reach 10 mA·cm−2 for hydrogen generation and maintains long-term operation stability.