Superconductivity has been first observed in TlNi$_2$Se$_2$ at T$_C$=3.7 K and appears to involve heavy electrons with an effective mass $m^*$=14$sim$20 $m_b$, as inferred from the normal state electronic specific heat and the upper critical field, H_${C2}$(T). Although the zero-field electronic specific heat data, $C_{es}(T)$, in low temperatures (T < 1/4 T$_C$) can be fitted with a gap BCS model, indicating that TlNi$_2$Se$_2$ is a fully gapped superconductor, the two-gap BCS model presents the best fit to all the $C_{es}(T)$ data below $T_C$. It is also found that the electronic specific heat coefficient in the mixed state, $gamma_N(H)$, exhibits a textit{H}$^{1/2}$ behavior, which was also observed in some textit{s}-wave superconductors, although once considered as a common feature of the textit{d}-wave superconductors. Anyway, these results indicate that TlNi$_2$Se$_2$, as a non-magnetic analogue of TlFe$_x$Se$_2$ superconductor, is a multiband superconductor of heavy electron system.