The rare-earth compound KYbSe2 provides a new chance for the study of frustrated magnets with strong SOC. It resembles YbMgGaO4 in many ways. Our susceptibility and specific heat measurements have revealed an effective spin-1/2 ground state with strong magnetic frustration in this compound. Moreover, in KYbSe2, there is no site mixing problem in the non-magnetic layers which is suggested to give rise to a broadening in crystalline electric field (CEF) excitations as observed in YbMgGaO4. Therefore, by measuring the CEF excitations in KYbSe2, we can unambiguously determine the ground state along with the intrinsic symmetry which are closely related to the SOC interaction.