A new type of composite electrode material, MoSe2 nanoflakes grown on the vertically aligned carbon nanotube array film (VACNTF) with binder-free nickel foam as current collector (VACNTF@MoSe2/NF), was fabricated by a simple spraying chemical vapor deposition method combined with the solvothermal technique. Owing to the introduction of the VACNTF with ordered channels and appropriate intertube spacing, which facilitate electrolyte ions quickly transferring and alleviate the volume changes in the electrochemical measurements, the VACNTF@MoSe2/NF sample presents superior electrochemical performance compared to pure MoSe2/NF sample. The VACNTF@MoSe2/NF sample exhibits high specific capacitance of 435 F·g−1 at 1 A·g−1, remarkable cycling stability (92% of the original capacitance maintaining over 5000 cycles) and especially excellent rate capability (84.1% capacitance retention with the current density changed from 1 to 15 A·g−1). Moreover, the VACNTF@MoSe2/NF based asymmetric supercapacitor exhibits a high energy density with 22 Wh·kg−1 for a power density of 330 W·kg−1. This paper offers a new strategy to prepare transition metal dichalcogenides based electrode materials with high rate performance.