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Very recently we revealed a large family of triangular lattice quantum spin liquid candidates named rare-earth chalcogenides, which features a high-symmetry structure without structural/charge disorders and spin impurities, and may serve as an ideal platform exploring spin liquid physics. The knowledge of crystalline electric-field (CEF) excitations is an essential step to explore the fundamental magnetism of rare-earth spin systems. Here we employed inelastic neutron scattering (INS) and Raman scattering (RS) to carry out a comprehensive CFE investigation on $NaYbSe_{2}$, a promising representative of the family. By comparison with its nonmagnetic compound $NaLuSe_{2}$, we are able to identify the CEF excitations at 15.8, 24.3 and 30.5 meV at 5K. The selected cuts of the INS spectra are well re-produced with a large anisotropy of $g$ factors ($g_{ab}:g_{c}\sim3:1$). Further, the CEF excitations are explained well by our calculations based on the point charge model. Interestingly, $NaYbSe_{2}$ exhibits an unusual CEF shift to higher energies with increasing temperatures, and the Raman mode close to the first CEF excitation shows an anomalously large softening with decreasing temperatures. The absence of the anomalies in $NaLuSe_{2}$ clearly demonstrates a CEF-phonon coupling not reported in the family. It can be understood in term of the weaker electronegativity of Se. The fact that the smallest first CEF excitation in the sub-family of $NaYbCh_{2}$ is $\sim$ 180K (Ch=O, S, Se), guarantees that the sub-family can be strictly described with an effective S=1/2 picture at sufficiently low temperatures. Interestingly the CEF-phonon coupling revealed here may present alternative possibilities to manipulate the spin systems.