The combination of metal oxides and two-dimensional materials can effectively separate photogenerated electron-hole pairs under photoexcitation conditions, which can solve the problems of low carrier mobility and easy agglomeration of two-dimensional materials. Herein, the MoSe2 loaded with ZnO (MoSe2@ZnO) was prepared by two-step hydrothermal and magnetron sputteringmethod. The results of scanning electron microscopy and transmission electron microscopy show that the MoSe2 and MoSe2@ZnO composite material with controllable size are successfully prepared, and the agglomeration problem of the MoSe2 is solved. The results of X-ray photoelectron spectroscopy show that the electrons at the Fermi level of MoSe2 can be transferred to the Fermi level of ZnO to form a built-in electric field. When Fermi level of MoSe2 and ZnO reaches the same position, the band bending can be caused, which can inhibit the recombination of photogenerated electron-hole pairs and enhance the carrier mobility. The Z-scan results show that MoSe2 has nonlinear absorption coefficient of ∼10−7 cm/W, and the reverse saturation absorption characteristics of MoSe2 can be effectively improved by controlling the sputtering power The results show that MoSe2@ZnO has excellent photoelectric properties, so it has broad research prospects in optoelectronic devices and other development fields.