Complex nanostructures with distinct spatial architectures and more active sites hold broad prospects in new energy conversion fields. Herein, a facile strategy was carried out to construct triple-shelled Co-VSe nanocages, starting with an ion-exchange process between Co-based zeolitic imidazolate framework-67 (ZIF-67) nanopolyhedrons and VO followed by the formation of triple-shelled Co-VSe hollow nanocages during the process of increasing the solvothermal temperature under the assistance of SeO. Meanwhile, triple-shelled Co-VS and yolk-double shell Co-VO nanocages were fabricated as references by a similar process. Benefiting from the larger surface areas and more electrolyte adsorption sites, the triple-shelled Co-VSe nanocages exhibited excellent electrocatalytic performances when applied as the electrochemical catalysts for dye-sensitized solar cells (DSSC) and hydrogen evolution reactions (HER). More concretely, the DSSC based on the Co-VSe counter electrode showed outstanding power conversion efficiency of 9.68% when its Pt counterpart was 8.46%. Moreover, the Co-VSe electrocatalyst exhibited prominent HER performance with a low onset overpotential of 40 mV and a small Tafel slope of 39.1 mV dec in an acidic solution.