Emerging sodium-selenium batteries suffer from volume expansion of the selenium cathode and shuttling effects of soluble intermediates. Confining selenium within the carbon matrix is the most adopted strategy to address these two issues, which is generally realized via a melt-infusion method. Herein, we developed a vapor-infiltration method to fabricate selenium/carbon composites that are advantageous over the melt-infusion route in terms of several aspects: it relieves the requirement of intensive mechanical mixing and simplifies the ratio optimization between selenium and carbon; it avoids selenium aggregation and makes it possible to utilize all of the surface and pores of the carbon host. Utilizing this method, we fabricated a selenium/graphene composite from thermally reduced graphene oxide with a selenium loading equal to 71 wt %, thus approaching the record value. The obtained composite achieved the highest reported to date initial Coulombic efficiency of 88% among various selenium cathodes, with superior rate and cycle performance (410 and 367 mA h g-1 at 0.1 and 1 A g-1 capacity decay <10% after 800 cycles at 2 A g-1) enabled by the supporting graphene framework and the use of the ether electrolyte. In view of the distinct advantages of the vapor-infiltration method and the significant influence of the ether electrolyte on both initial Coulombic efficiency and cyclability of the batteries, we believe the introduced approach will be frequently adopted to incorporate selenium into various host materials, and the ether electrolyte will be widely considered for selenium-based electrodes.