Transition metal selenides, a new type of electrode material for electrochemical capacitors, have attracted much attention because of their superior capacitive performance, notable electrical conductivity, and abundant reserves. Facile and efficient microwave heating followed by a solvothermal method was used to synthesize the (Ni_0.85Se)₃(Co_0.85Se)/reduced graphene oxide (rGO) composite. Firstly, it can be observed that (Ni_0.85Se)₃(Co_0.85Se)/rGO presents a three-dimensional porous microstructure consisting of stacked nanorods. The as-synthesized (Ni_0.85Se)₃(Co_0.85Se)/rGO has an excellent specific capacitance of 2009 F g⁻¹ at a current density of 2 A g⁻¹, an ultrahigh rate performance of 83% with an increment in current density from 2 A g⁻¹ to 30 A g⁻¹, together with an outstanding long-cycle performance of 79.7% capacitance retention after 5000 cycles at 30 A g⁻¹. Furthermore, the assembled (Ni_0.85Se)₃(Co_0.85Se)/rGO||activated carbon (AC) asymmetric supercapacitor achieves a high energy density of 38 W h kg⁻¹ at a power density of 388 W kg⁻¹. After 5000 cycles at a current density of 10 A g⁻¹, the capacitance retention is 80.8%, which promotes the potential application of (Ni_0.85Se)₃(Co_0.85Se)/rGO for high-performance supercapacitors.