Molybdenum diselenide and cobalt diselenide have been commonly implemented in electrocatalytic hydrogen evolution reaction (HER). However, there have been few research on the creation of their three-phase heterojunctions and the associated HER process. Herein, we constructed a three-phase heterostructure sample consisting of orthorhombic CoSe2 , cubic CoSe2 and MoSe2 and we investigated its HER performance. The sample shows microsphere morphology composed of nanosheets with interfacial interactions between the components. It possesses an overpotential of -136 mV at -10 mA cm-2 in acid medium, which is superior to that of single component and most two-phase heterostructures. Especially, the overpotential at -200 mA cm-2 is smaller than that of Pt/C. The excellent performance can be attributed to the d-orbital upshift of the Co active sites due to charge redistribution between the three-phase heterojunction and the optimization of the hydrogen free energy. This work provides inspiration for exploring the application of other multi-component heterojunctions in electrocatalytic hydrogen evolution.