Due to the non-trivial topological band structure in type-II Weyl semimetal Tungsten ditelluride (WTe2), unconventional properties may emerge in its superconducting phase. While realizing intrinsic superconductivity has been challenging in the type-II Weyl semimetal WTe2, proximity effect may open an avenue for the realization of superconductivity. Here, we report the observation of proximity-induced superconductivity with a long coherence length along c axis in WTe2 thin flakes based on a WTe2/NbSe2 van der Waals heterostructure. Interestingly, we also observe anomalous oscillations of the differential resistance during the transition from superconducting to normal state. Theoretical calculations show excellent agreement with experimental results, revealing that such a sub-gap anomaly is the intrinsic property of WTe2 in superconducting state induced by the proximity effect. Our findings enrich the understanding of superconducting phase of type-II Weyl semimetals, and pave the way for their future applications in topological quantum computing.