Using a microcircuit fabricated on a diamond anvil cell, we have measured in-situ conductivity of HgSe under high pressures, and investigated the temperature dependence of conductivity under several different pressures. The result shows that HgSe has a pressure-induced transition sequence from a semimetal to a semiconductor to a metal, similar to that in HgTe. Several discontinuous changes in conductivity are observed at around 1.5, 17, 29 and 49GPa, corresponding to the phase transitions from zinc-blende to cinnabar to rocksalt to orthorhombic to an unknown structure, respectively. In comparison with HgTe, it is speculated that the unknown structure may be a distorted CsCl structure. For the cinnabar-HgSe, the energy gap as a function of pressure is obtained according to the temperature dependence of conductivity. The plot of the temperature dependence of conductivity indicates that the unknown structure of HgSe has an electrical property of a conductor.