Molybdenum selenide (MoSe2) has been regarded as an advanced electrocatalyst for the hydrogen evolution reaction (HER). However, its electrocatalytic performance is far inferior to platinum (Pt). Combining semiconductors with metals to construct Mott-Schottky heterojunctions has been considered as an effective method to enhance HER activity. In this work, we report a typical Mott-Schottky heterojunction composed of metal Co and semiconductor MoSe2 on carbon nanotubes (Co/MoSe2@CNT), prepared by a sol-gel process followed by thermal reduction. The characterization and theoretical calculations show that a Co/MoSe2 Mott-Schottky heterojunction can cause electron redistribution at the interface and form a built-in electric field, which not only optimizes the free energy of hydrogen atom adsorption, but also improves the charge transfer efficiency during hydrogen evolution. Thus, the Co/MoSe2@CNT has excellent catalytic activity with a low overpotential of 185 mV at 10 mA cm−2 and a small Tafel slope of 69 mV dec−1. This work provides a new strategy for constructing Co/MoSe2 Mott-Schottky heterojunctions and highlights the Mott-Schottky effect, which may inspire the future development of more attractive Mott-Schottky electrocatalysts for H2 production.