The rapid development of two-dimensional (2D) transition-metal dichalcogenides has been possible owing to their special structures and remarkable properties. In particular, palladium diselenide (PdSe₂) with a novel pentagonal structure and unique physical characteristics have recently attracted extensive research interest. Consequently, tremendous research progress has been achieved regarding the physics, chemistry, and electronics of PdSe₂. Accordingly, in this review, we recapitulate and summarize the most recent research on PdSe₂, including its structure, properties, synthesis, and applications. First, a mechanical exfoliation method to obtain PdSe₂ nanosheets is introduced, and large-area synthesis strategies are explained with respect to chemical vapor deposition and metal selenization. Next, the electronic and optoelectronic properties of PdSe₂ and related heterostructures, such as field-effect transistors, photodetectors, sensors, and thermoelectric devices, are discussed. Subsequently, the integration of systems into infrared image sensors on the basis of PdSe₂ van der Waals heterostructures is explored. Finally, future opportunities are highlighted to serve as a general guide for physicists, chemists, materials scientists, and engineers. Therefore, this comprehensive review may shed light on the research conducted by the 2D material community.[Figure not available: see fulltext.]