Heterostructures obtained by combining two-dimensional (2D) sheets are widely investigated as a platform for designing new materials with customised characteristics. Transition metal dichalcogenides (TMDCs) are often combined with hexagonal boron nitride (hBN) to enhance their excitonic resonances. However, little is known about how stacking affects excitons and plasmons in TMDCs or their mutual interactions. Here, we combine momentum-resolved electron energy-loss spectroscopy with first-principles calculations to study the energy-momentum dispersion of plasmons in multi-layer WSe2-hBN heterostructures as well as in their isolated components. The dispersion of the high-momentum excitons of hBN, alone and in combination with WSe2, is mapped across the entire Brillouin zone. Signatures of hybridisation in the plasmon resonances and some of the excitons suggest that the contribution of hBN cannot be neglected when interpreting the response of such a heterostructure. The consequences of using hBN as an encapsulant for TMDCs are also discussed.