Despite the weak nature of interlayer forces in transition metal dichalcogenide (TMD) materials, their properties are highly dependent on the number of layers in the few-layer two-dimensional (2D) limit. Here, we present a combined scanning tunneling microscopy/spectroscopy and GW theoretical study of the electronic structure of high quality single- and few-layer MoSe2 grown on bilayer graphene. We find that the electronic (quasiparticle) bandgap, a fundamental parameter for transport and optical phenomena, decreases by nearly one electronvolt when going from one layer to three due to interlayer coupling and screening effects. Our results paint a clear picture of the evolution of the electronic wave function hybridization in the valleys of both the valence and conduction bands as the number of layers is changed. This demonstrates the importance of layer number and electron-electron interactions on van der Waals heterostructures, and helps to clarify how their electronic properties might be tuned in future 2D nanodevices.