Holographic recording has been performed for the first time in ultrathin (20 nm thick) amorphous selenium films. Two different experimental configurations leading to spatial frequencies of 360 and 1000 lines/mm are studied. Whereas a high diffraction efficiency (> 1 %) is achieved in the low-frequency regime, partial erasability is feasible in the high-frequency case. Electron microscopy based techniques show that the whole grating is in the amorphous phase, the dark fringes are denser than the bright ones, and there are no traces of oxidation. Transmittance measurements show a blue shift in the absorption edge of the films upon laser irradiation. The results are discussed in terms of film densification, accomplished through rearrangements in the amorphous selenium chains, the heat flow along the direction of the grating vector playing an important role.