The wavelength-dependent and ultrafast nonlinear optical response of vanadium diselenide (VSe2) in the visible to near-infrared spectrum are experimentally investigated, which shows broadband saturation absorption and self-focusing characteristics, and obtained the maximum nonlinear absorption coefficient and nonlinear absorption coefficient are −4.058 × 10−10 m/W and 6.043 × 10−17 m2/W, respectively. Meanwhile, the ultrafast carriers dynamic response of VSe2 is studied by using time-resolved pump-probe method, and the ultrafast response time of 0.65 ps is obtained. Our results show that VSe2 is an excellent nonlinear optical material and has great application potential in the field of nonlinear optics.