Atomically thin vanadium diselenide (VSe) is a two-dimensional transition metal dichalcogenide exhibiting attractive properties due to its metallic 1T phase. With the recent development of methods to manufacture high-quality monolayer VSe on van der Waals materials, the outstanding properties of VSe-based heterostructures have been widely studied for diverse applications. Dimensional reduction and interlayer coupling with a van der Waals substrate lead to its distinguishable characteristics from its bulk counterparts. However, only a few fundamental studies have investigated the interlayer coupling effects and hot electron transfer dynamics in VSe heterostructures. In this work, we reveal ultrafast and efficient interlayer hot electron transfer and interlayer coupling effects in VSe/graphene heterostructures. Femtosecond time-resolved reflectivity measurements showed that hot electrons in VSe were transferred to graphene within a 100 fs time scale with high efficiency. Besides, coherent acoustic phonon dynamics indicated interlayer coupling in VSe/graphene heterostructures and efficient thermal energy transfer to three-dimensional substrates. Our results provide valuable insights into the intriguing properties of metallic transition metal dichalcogenide heterostructures and motivate designing optoelectronic and photonic devices with tailored properties.