In this work, the synthesis of Co-Fe-Se ultrathin nanosheet-fabricated microspheres was reported for the first time as electrocatalysts toward hydrogen evolution reaction (HER). The Co-Fe-Se ternary compounds exhibited high electrocatalytic activity of HER with low onset potential in acid media due to the high specific surface area of Co-Fe-Se ultrathin nanosheet-fabricated microspheres. The presence of multiwall carbon nanotubes improved the immobilization effect of Co-Fe-Se catalysts and electron transfer between catalysts and electrode surface, leading to the improved stability and HER electrocatalysis. The non-noble metal-based ternary compounds of Co-Fe-Se obtained from earth-abundant elements may enlighten a new way of exploring cost-effective catalysts for HER to develop hydrogen energy.