A complex few-layerMoSe₂/graphene oxide (GO) heterostructurewith strong interlayer couplingwas prepared by a facile hydrothermal method. In this strongly coupled heterostructure, we demonstrate a giant enhancement of two-photon absorption that is in stark contrast to the reverse saturable absorption of a weakly coupled MoSe₂/GO heterostructure and saturable absorption of isolatedMoSe₂. Spectroscopic evidence of our study indicates that the optical signatures of isolated MoSe₂ and GO domains are significantly modified in the heterostructure, displaying a direct coupling of both domains. Furthermore, our first-principles calculations indicate that strong interlayer coupling between the layers dramatically suppresses the MoSe₂ excitonic bands. We envision that our findings provide a powerful tool to explore different optical functionalities as a function of interlayer coupling, which may be essential for the development of device technologies.