SnSe not only has a large surface-to-volume ratio, but also provides enough space to adsorb small-molecule gases owing to its unique wrinkled structure, so it exhibits great application prospects in gas sensing. In this study, we have comprehensively investigated the adsorption properties of H2, N2, CO, CO2, H2S, H2O, NH3, NO, SO2, and NO2 on SnSe by the first-principles density functional theory, and have analyzed the sensing potential of SnSe for these small gas molecules. It is found that only NO and SO2 have suitable adsorption energies, showing that they can be stably adsorbed on the SnSe substrate and easily desorbed under certain conditions. Moreover, NO adsorption introduces a magnet moment that can be differentiated from SO2 and NO2. Additionally, according to the calculation results of the statistical thermodynamics model and nonequilibrium Green’s function method, SO2 possesses enormous adsorption density and larger current than NO under the same condition. Therefore, SnSe is promising for reversible SO2 sensing.