The exploration and advancement of zinc oxide and selenide-based materials for gas sensing have seen considerable interest in recent years. These materials offer promising potential for gas sensing; however, their widespread application has been hampered by several critical challenges, including low sensitivity, lengthy recovery times, high operating temperatures, and issues with achieving complete recovery after exposure to target gases. As a result, significant research efforts have been focused on developing and optimizing gas sensors with enhanced performance characteristics. Recently, zinc selenide nanostructures have demonstrated notable room-temperature gas sensing performance. They also offer several advantages, including lower operating temperatures, enhanced sensitivity, and improved selectivity. It is also an excellent host for the formation of doped nanocrystals. This review delves into the comprehensive studies conducted in this domain, with a particular focus on the properties of these materials. Additionally, it examines various synthesis approaches employed to create these nanostructured materials, as well as innovative strategies such as the creation of nanocomposites and designing morphologies to improve the sensitivity, response times, selectivity, and overall effectiveness of gas sensors. The review also addresses the ongoing challenges in this field, such as improving the sensitivity, stability, selectivity, and reproducibility of these sensors. Finally, we highlight potential future directions for research, suggesting ways in which these nanostructures could be further developed to become more efficient and reliable gas sensors for their applications in environmental monitoring, flexible electronics, and wearable devices.