ZnSe/graphene composites are produced by chemical method, and the attachment of ZnSe nanocrystals on graphene nanosheets can be confirmed by transmission electron microscopy, Fourier transform infrared spectroscopy, X-ray diffraction and UV-vis spectroscopy. The nonlinear optical properties are investigated at 532 nm by a picosecond laser Z-scan technique. It is found that the interaction between ZnSe and graphene enhances the optical nonlinearity of ZnSe/graphene composites than single ZnSe or graphene. The increase of ZnSe size further enhances the optical nonlinearity of ZnSe/graphene.