We report high-quality single-crystal growth, x-ray diffraction, magnetic susceptibility [\ensuremath{\chi}($T,H$)], magnetization [$M$($H$)], heat capacity $[{C}_{\mathrm{P}}(T,H)]$, electrical resistivity [\ensuremath{\rho}($T,H$)], and electron spin resonance (ESR) measurements of GdAsSe as functions of temperature and magnetic field. We identify an antiferromagnetic phase transition at ${T}_{\mathrm{N}}\ensuremath{\sim}11.9\ifmmode\pm\else\textpm\fi{}0.2$ K and construct magnetic phase diagrams for $H||ab$ and $H||c$ axes based on the \ensuremath{\chi}($T,H$) and ${C}_{\mathrm{P}}$($T,H$) data. Isothermal $M$($H$) curves along the $H||ab$ direction at 3 K exhibit a field-induced spin orientation at ${H}_{\mathrm{C}}\ensuremath{\sim}3.78\phantom{\rule{0.16em}{0ex}}\mathrm{T}$. Both $M$($H$) and \ensuremath{\chi}($T,H$) indicate an easy-plane-type anisotropy. The Curie-Weiss analysis of the high-temperature paramagnetic \ensuremath{\chi}($T$) yields a negative Weiss temperature, suggesting dominant antiferromagnetic interactions between the Gd ions. Magnetic entropy reaches 83% of R ln8 at ${T}_{\mathrm{N}}$. The presence of residual entropy above ${T}_{\mathrm{N}}$ and the persistence of ESR critical broadening up to $\ensuremath{\sim}3{T}_{\mathrm{N}}$ alludes to a degree of magnetic frustration in the studied material. The \ensuremath{\rho}($T$) data above ${T}_{\mathrm{N}}$ is well fitted to the Bloch-Gr\"uneisen theory for metals. Further, density functional theory calculations reveal an antiferromagnetic ground state where the Gd atoms are coupled ferromagnetically in the $ab$ plane and antiferromagnetically along the $c$ axis.