Anion vacancies at the interface play a vital role in the augmented performance of oxide semiconductors in photocatalysis. The existence of anion vacancies not only improves conductivity but also affects light absorption and suppresses recombination, resulting in enhanced performance. This work reports the role of selenium vacancies at the interface between ZnSe and g-C₃N₄. After the addition of g-C₃N₄, selenium vacancies were induced at the interface between ZnSe and g-C₃N₄. The vacancies generated from the addition of g-C₃N₄ promote photogenerated charge carrier separation for improved photoelectrochemical performance. To corroborate this point, ZnSe and g-C₃N₄, via facile anion exchange, spin-coating and annealing, sequentially, were prepared on hydrothermally prepared ZnO as a ternary junction photoanode. Experimental measurements depicted the presence of Se vacancies in ZnO@ZnSe@g-C₃N₄ annealed at 350 °C under N₂, whereas the annealing conditions at 300 °C in air result in the formation of SeO₂ at the interface due to partial oxidation of ZnSe. The Se vacancies significantly enhance the transport of charge carriers and thus prominently improve the photocurrent performance, whereas the existence of the SeO₂ phase hampered the performance. The current study sheds light on how interfacial anion vacancies affect various aspects of important factors behind the photoelectrochemical performance, which provides meaningful scientific insights into the development of more efficient photoanodes in the future.