The sawtooth lattice shares some structural similarities with the kagome lattice and may attract renewed research interest. Here, we report a comprehensive study on the physical properties of Fe2SiSe4, an unexplored member in the olivine chalcogenides with the sawtooth lattice of Fe. Our results show that Fe2SiSe4 is a magnetic semiconductor with band gap of 0.66 eV. It first undergoes an antiferromagnetic transition at Tm1=110 K, then an ferrimagnetic-like one at Tm2=50 K and finally a magnetic transition at Tm3=25 K which is likely driven by the thermal populations of spin-orbit manifold on the Fe site. Neutron diffraction analysis reveals a non-collinear antiferromagnetic structure with propagation vector q1=(0,0,0) at Tm2