CoSe is one of the chalcogenides attracting much attention due to its excellent hydrogen evolution reaction (HER) activity and low price. However, CoSe prepared by electrodeposition generally shows lower HER activity and stability under acidic conditions than those prepared by other methods. In this study, it was assumed that the cause of the low HER performance of electrodeposited CoSe is mainly due to the dissolution of Co and Se, which do not form a stable alloy, and annealing of electrodeposited CoSe was introduced to demonstrate this. We compared the HER activity and stability of non-annealed and annealed CoSe in 0.5 M H2SO4 electrolyte and investigated the dissolution behaviors of the two catalysts during HER. As a result, it was found that Co and Se, which did not form a stoichiometric CoSe2 alloy, were found to be vulnerable in acidic conditions. The annealing induced additional CoSe2 formation, improving the HER activity and stability of electrodeposited CoSe. The annealed CoSe exhibited an overpotential of 175 mV at 10 mA cm−2, 27 mV lower than that of non-annealed one, and was stable for 48 h at 10 mA cm−2.