MXenes and transition metal selenides (TMSe) have emerged as prominent electrode materials for energy storage and conversion applications. The integration of diverse TMSe nanostructures with MXenes introduces promising research avenues for tailored designs ranging from zero-dimensional (0D) to three-dimensional (3D) configurations, boosting structural integrity and enhancing the transport properties of ions and electrons. This integrative framework significantly enhances the overall electrochemical performance. This review examines recent advancements in the integrated design of TMSe and MXenes, specifically focusing on their application in various energy storage (such as supercapacitors, lithium-ion, sodium-ion, magnesium-ion, aluminum-ion, and lithium–sulfur batteries) and energy conversion (including hydrogen and oxygen evolution reactions) systems. Furthermore, it discusses the existing challenges and future prospects of employing MXene/TMSe hybrids not only for sustainable electrochemical energy storage and conversion but also for diverse electronic devices.