Electrocatalysts with high activity and stability for hydrogen generation from water have become the increasing demand of future energy system. Despite all the advances in the synthesis of transition metal selenide nanostructures, the fabrication of two-dimensional (2D) electrocatalyst remains a major challenge. Here, a unique 2D FeSe2/CoSe nanosheet structure is synthesized by hydrothermal and selenization processes. In an alkaline solution, a FeSe2/CoSe nanosheet electrode exhibits a low overpotential of 73 mV for 10 mA cm−2 in the hydrogen evolution reaction. Furthermore, as an anode in oxygen evolution reaction, its surface can self-transform to a stable FeOOH/CoOOH layer without any morphology transition, and it requires only 183 mV to reach 10 mA cm−2. In a two-electrode system, it needs a cell voltage of only 1.48 V to achieve 10 mA cm−2. This work provides an easy way to construct bimetallic transition metal selenide electrocatalysts for efficient overall water splitting.