In this research, we have developed a two-step electrochemical-thermal method for synthesizing cobalt selenides. Our approach enables the direct formation of cobalt selenide structures on conductive materials without the need for binders or adhesive layers. Firstly, cobalt thin films were electrodeposited from an aqueous solution, followed by selenization using selenium vapors in the second step. The selenization temperature was optimized for a constant duration of 2 h. Crystalline cobalt diselenide () thin films were successfully obtained at 400 and 500 °C, while annealing at 600 °C produced cobalt selenide (CoSe) thin film; however, the selenization was not successful at 300 °C. The obtained materials were characterized by SEM, EDS, XRD, XPS, and Raman spectroscopy. The thin cobalt diselenide film synthesized at 400 °C was evaluated as an electrocatalyst for the hydrogen evolution reaction in acidic media. Furthermore, the described synthesis approach was adapted to produce cobalt selenide nanowires. Despite the successful selenization of nanowires, this technique requires further improvement to enhance the homogeneity of selenium distribution and stabilize the golden current collector.