Different two-dimensional (2D) materials, when combined together to form heterostructures, can exhibit exciting properties that do not exist in individual components. Therefore, intensive research efforts have been devoted to their fabrication and characterization. Previously, vertical and in-plane 2D heterostructures have been formed by mechanical stacking and chemical vapor deposition. Here, we report a new material system that can form in-plane p-n junctions by thermal conversion of n-type SnSe to p-type SnSe. Through scanning tunneling microscopy and density functional theory studies, we find that these two distinctively different lattices can form atomically sharp interfaces and have a type II to nearly type III band alignment. We also demonstrate that this method can be used to create micron-sized in-plane p-n junctions at predefined locations. These findings pave the way for further exploration of the intriguing properties of the SnSe-SnSe heterostructure.