The hydrogen evolution reaction (HER) is promising in the production of clean and sustainable energy and molybdenum diselenide (MoSe2) is attractive for this process due to the excellent catalytic ability. However, its low intrinsic conductivity and vulnerability to aggregation have restricted wider application. Herein, a facile strategy to construct a heterostructure composed of MoSe2 nanosheets and black phosphorus (BP) nanosheets by van der Waals (vdW) interactions is designed and described. Compared with the bare MoSe2 nanosheets, the MoSe2-BP heterostructure has improved conductivity and more abundant active sites attributable to BP consequently facilitating electron transfer and preventing MoSe2 from aggregation. In the HER assessment, the MoSe2-BP heterostructure delivers excellent electrocatalytic performance such as a low onset potential (200 mV), small Tafel slope (97 mV.dec(-1)), and excellent stability. The 2D heterostructured semiconductor has great potential in electrocatalytic applications.