Superconducting proximity effect (SPE) in topological insulator (TI) and superconductor (SC) hybrid structure has attracted intense attention in recent years in an effort to search for mysterious Majorana fermions (MFs) in condensed matter systems. Here we report on the SPE in a Bi2Se3/NbSe2 junction fabricated with an all-dry transfer method. Resulting from the highly transparent interface, two sharp resistance drops are observed at 7 K and 2 K, respectively, corresponding to the superconducting transition of NbSe2 flake and the SPE induced superconductivity in Bi2Se3 flake. Experimentally measured differential conductance spectra exhibit a bias-independent conductance plateau (BICP) in the vicinity of zero bias below 7 K. As temperatures further decrease a zero bias conductance peak (ZBCP) emerges from the plateau and becomes more enhanced and sharpened at lower temperatures. Our numerically simulated differential conductance spectra reproduce the observed BICP and ZBCP and show that the SPE in topological surface states (TSS) is much stronger than that in the bulk states of Bi2Se3. The SPE induced superconducting gap for the TSS of Bi2Se3 is comparable to that of NbSe2 and gives rise to the observed BICP below 7 K. In contrast, the SPE induced superconducting gap for the bulk states of Bi2Se3 is an order of magnitude smaller than that of NbSe2 and superconducting TSS. These weakly paired bulk states in Bi2Se3 give rise to the ZBCP below 2 K. Our study has clearly unveiled the different roles of TSS and bulk stats in SPE, clarified the physical origin of the SPE induced features, and shined light on further investigation of SPE and MF in TI/SC hybrid structures.