Iron diselenium (FeSe₂) with rational design and tailored synthesis is a promising transition metal chalcogenide because of its suitable optical and electronic properties. Despite these prospects, controllable synthesis of FeSe₂ with a special hierarchical heterostructure has hardly been paid attention to previously. Here, we report a successful synthesis of FeSe₂ microtubes in a system of water glycol mixture using a sacrificial self-template method. This method leads to the formation of a FeSe₂ microtube embedded with nanooctahedra in the remaining Se template, which can be regarded as a special hetero-junction morphology. Moreover, a growth mechanism of the FeSe₂ microtube was discussed. This unique morphology and facile synthesis might facilitate the study of transition metal chalcogenides.