Two-dimensional transition metal dichalcogenides heterostructures have stimulated wide in- terest not only for the fundamental research, but also for the application of next generation electronic and optoelectronic devices. Herein, we report a successful two-step chemical vapor deposition strategy to construct vertically stacked van der Waals epitaxial In2Se3/MoSe2 heterostructures. Transmission electron microscopy characterization reveals clearly that the In2Se3 has well-aligned lattice orientation with the substrate of monolayer MoSe2. Due to the interaction between the In2Se3 and MoSe2 layers, the heterostructure shows the quench- ing and red-shift of photoluminescence. Moreover, the current rectification behavior and photovoltaic effect can be observed from the heterostructure, which is attributed to the unique band structure alignment of the heterostructure, and is further confirmed by Kevin probe force microscopy measurement. The synthesis approach via van der Waals epitaxy in this work can expand the way to fabricate a variety of two-dimensional heterostructures for potential applications in electronic and optoelectronic devices.