Two-dimensional transition metal dichalcogenides are considered promising materials for next-generation photonics and nano-optical devices. Although many previous reports have shown saturable absorption of molybdenum diselenide (MoSe2), these nonlinear optical (NLO) properties of MoSe2 were measured in separate works and under different conditions with their hot-carrier relaxations. Here, we conducted a series of coherent studies on the NLO properties of few-layer MoSe2 via open-aperture Z-scan and degenerate pump-probe techniques. These measurements were taken to test the materials’ capabilities as a slow-saturable absorber. A slow-absorber model was employed to analyze the NLO measurements, and the results show that the NLO modulation depth was modeled to be 7.4% and 15.1% for the linear absorption coefficients of 5.22 cm−1 and 6.51 cm−1, respectively. The corresponding saturated intensities were modeled to be 39.37 MW/cm2 and 234.75 MW/cm2, respectively. The excitation carrier recovery time of few-layer MoSe2 was measured by degenerate pump-probe techniques to be ∼220 ps. These nonlinear optical performances make it a promising slow-saturable absorber for passive mode locking in femtosecond lasers.