Co0.85Se magnetic nanoparticles supported on carbon nanotubes were prepared by a one-step hydrothermal method. The saturation magnetization and coercivity of the MWCNTs/Co0.85Se nanocomposites increased due to a decrease in the Co0.85Se nanoparticle size in the MWCNTs/Co0.85Se nanocomposites and an increase in the distance between the Co0.85Se nanoparticles, which increased the specific surface area, thereby benefiting the electrocatalytic performance of the catalyst. Moreover, the MWCNTs/Co0.85Se nanocomposites exhibited an excellent hydrogen evolution reaction performance owing to the presence of MWCNTs, which enhanced the mass transport during the electrocatalytic reactions. Furthermore, in an acid solution, the 30 wt% MWCNTs/Co0.85Se composite catalyst exhibited a current density of 10 mA cm−2 at a small overpotential of 266 mV vs. RHE, a small Tafel slope of 60.5 mV dec-1, and good stability for HER.