Stacking two-dimensional materials in so-called van der Waals (vdW) heterostructures, like the combination of GaSe and graphene, provides the ability to obtain hybrid systems that are suitable to design optoelectronic devices. Here, we report the structural and electronic properties of the direct growth of multilayered GaSe by molecular beam epitaxy on graphene. Reflection high-energy electron diffraction images exhibited sharp streaky features indicative of a high-quality GaSe layer produced via a vdW epitaxy. Micro-Raman spectroscopy showed that, after the vdW heterointerface formation, the Raman signature of pristine graphene is preserved. However, the GaSe film tuned the charge density of graphene layer by shifting the Dirac point by about 80 meV toward lower binding energies, attesting to an electron transfer from graphene to GaSe. Angle-resolved photoemission spectroscopy (ARPES) measurements showed that the maximum of the valence band of the few layers of GaSe are located at the Γ point at a binding energy of about −0.73 eV relative to the Fermi level (p-type doping). From the ARPES measurements, a hole effective mass defined along the ΓM direction and equal to about m*/m0 = −1.1 was determined. By coupling the ARPES data with high-resolution X-ray photoemission spectroscopy measurements, the Schottky interface barrier height was estimated to be 1.2 eV. These findings allow a deeper understanding of the interlayer interactions and the electronic structure of the GaSe/graphene vdW heterostructure.