We report a comprehensive angle-resolved photoemission spectroscopy study of the tridimensional electronic bands in the recently discovered Fe selenide superconductor ((Tl,Rb)(y)Fe(2-x)Se2 (T(c)=32 K). We determined the orbital characters and the k(z) dependence of the low energy electronic structure by tuning the polarization and the energy of the incident photons. We observed a small 3D electron Fermi surface pocket near the Brillouin zone center and a 2D like electron Fermi surface pocket near the zone boundary. The photon energy dependence, the polarization analysis and the local-density approximation calculations suggest a significant contribution from the Se 4p(z) and Fe 3d(xy) orbitals to the small electron pocket. We argue that the emergence of Se 4p(z) states might be the cause of the different magnetic properties between Fe chalcogenides and Fe pnictides.