We designed and prepared a hetero-dimensional hybrid (HDH) based on molybdenum selenide (MoSe₂) nanodots (NDs) anchored in few-layer MoSe₂ nanosheets (NSs) (MoSe₂ HDH) via a one-pot hydrothermal process. The MoSe₂ HDH exhibits excellent electrocatalytic activity toward hydrogen evolution reaction (HER). This is because, on the one hand, the edge-abundant features of MoSe₂ NDs and the unique defect-rich structure at the interface of MoSe₂ NSs/NDs could bring in more active sites for HER; on the other hand, the random stacking of the flake-like MoSe₂ NSs on the surface of the supporting electrode may achieve efficient charge transport. Additionally, the MoSe₂ HDH shows good water stability, desirable biocompatibility, and high near infrared (NIR) photothermal conversion efficiency. Therefore, the MoSe₂ HDH is investigated as a nanomedicine in NIR photothermal therapy (PTT) for cancer. Specifically, the MoSe₂ HDH can be applied as a dual-modal probe for computed tomography (CT) and photoacoustic tomography (PA) imaging owing to its strong X-ray attenuation ability and NIR absorption. Therefore, the MoSe₂ HDH, combining PTT with CT/PA imaging into one system, holds great potential for imaging-guided cancer theranostics. This work may provide an ingenious strategy to prepare other hetero-dimensional layered transition metal dichalcogenides.