Herein, ZnSe nanoparticles with good visible-light response were in-situ deposited on the surface of the hollow tubular Co9S8 to form compact Co9S8/ZnSe heterojunctions via hydrothermal and solvothermal methods. This architecture is beneficial to expose more active sites due to the uniform dispersion of ZnSe particles. Under visible light irradiation, the composites at the optimum Co9S8 amount (5 wt%) take on notably higher hydrogen evolution activity, 967.8 μmol/g/h, which is 3.1 times that of independent ZnSe (314.2 μmol/g/h). A series of tests manifested that the Co9S8–ZnSe heterojunction significantly promotes the separation of photo-induced electron-hole pairs, notably improves hydrogen evolution kinetics and reduces the electron transfer resistance, which is responsible for the enhanced photocatalytic activity of the composites. Furthermore, the photocatalytic mechanism of the S-scheme heterojunction was proposed based on the measured energy band potentials. This work provides a strategy in constructing inexpensive heterojunction photocatalysts for enhancing the hydrogen evolution performance.