A dual functional CNTs@graphene/CNTs cathode for Li–Se battery was constructed by a CNTs@graphene network and a CNTs interlayer. CNTs were first integrated with graphene to form a three-dimensional (3D) framework and work together as a conductive matrix for Se confinement. The optimized composite cathode delivers a high initial capacity of 575 mAh·g−1 at 0.5 A·g−1 and good rate capacity with a retained capacity of 479 mAh·g−1 at 2.0 A·g−1 (73% of the capacity at 0.2 A·g−1). CNTs were further served as an interlayer to confine the diffusion of polyselenides by constructing a thin CNTs layer outside the CNTs@graphene network. An improved initial capacity of 616 mAh·g−1 at 0.5 A·g−1 is achieved with a retained capacity of 538 mAh·g−1 after 80 cycles, indicating the effective dual function of CNTs in this novel cathode construction and great application potential for Li–Se battery.