Using a first-principles method, we have investigated dissolution, self-trapping and clustering of He at a W(110) surface. We found that the He atom is not energetically favorable at both the surface and the subsurface, but it becomes stable under the second atomic layer from the surface. The He is easier to be self-trapped to form an He cluster at the near surface in comparison with the bulk due to the larger self-trapping range and the stronger binding energy. With the formation of such He cluster, the vacancy and thus the He-vacancy complex are able to form at the near surface. The results will provide a useful reference for understanding formation of the He bubble at the W surface.