A new class of graphene–polyselenophene (PSe) hybrid nanocomposite was successfully synthesized using an in situ synthetic method. The synthesized graphene–PSe nanocomposite exhibited unique properties including a large voltage window, high conductivity, and good mechanical properties. The graphene–PSe nanohybrid reduced the dynamic resistance of electrolyte ions and enabled high charge–discharge rates, thereby enabling high-performance supercapacitance. The results were attributed to synergetic effects between graphene and conducting polymers (CPs), which enhanced charge transport, surface area, and hybrid supercapacitance by combining the properties of electrolytic double-layer capacitors (EDLCs) with those of psedocapacitors. Additionally, a flexible supercapacitor based on the graphene–PSe nanohybrid was successfully demonstrated. To fabricate binder-free supercapacitors, chemical vapor deposition (CVD) and vapor deposition polymerization (VDP) methods were employed. The fabricated all-solid-state supercapacitor exhibited outstanding mechanical and electrochemical performance, even after several bending motions. The novel graphene–PSe nanocomposite material is promising for new energy storage and conversion applications.