Two-dimensional transition-metal dichalcogenides semiconductors (TMDCs) with layered structures have been concerned as promising thermoelectric (TE) materials for several years. However, WSe2 as one of TMDCs is barely investigated. Herein, we systematically investigated the high-temperature electrical and thermal transport behaviors in layered structure WSe2, demonstrating that WSe2 possesses high Seebeck coefficient and low thermal conductivity. The study of sintering process shows that the best electrical properties can be obtained in the sample sintered at 1123 K. Besides, anisotropic thermoelectric properties were also revealed. It is found that the dimensionless figure of merit (ZT) in the direction parallel to the pressing direction is higher than that in the direction perpendicular to the pressing direction. The highest ZT value of 0.03 is obtained at 923 K, which is an appreciable value for the pristine alloy material.