We use elastic and inelastic neutron scattering (INS) to study the antiferromagnetic (AF) phase transitions and spin excitations in the two-dimensional (2D) zig-zag antiferromagnet FePSe3. By determining the magnetic order parameter across the AF phase transition, we conclude that the AF phase transition in FePSe3 is first-order in nature. In addition, our INS measurements reveal that the spin waves in the AF ordered state have a large easy-axis magnetic anisotropy gap, consistent with an Ising Hamiltonian, and possible biquadratic magnetic exchange interactions. On warming across TN, we find that dispersive spin excitations associated with three-fold rotational symmetric AF fluctuations change into FM spin fluctuations above TN. These results suggest that the first-order AF phase transition in FePSe3 may arise from the competition between C3 symmetric AF and C1 symmetric FM spin fluctuations around TN, in place of a conventional second-order AF phase transition.