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Spiking Neural Networks (SNNs) have recently become more popular as a biologically plausible substitute for traditional Artificial Neural Networks (ANNs). SNNs are cost-efficient and deployment-friendly because they process input in both spatial and temporal manner using binary spikes. However, we observe that the information capacity in SNNs is affected by the number of timesteps, leading to an accuracy-efficiency tradeoff. In this work, we study a fine-grained adjustment of the number of timesteps in SNNs. Specifically, we treat the number of timesteps as a variable conditioned on different input samples to reduce redundant timesteps for certain data. We call our method Spiking Early-Exit Neural Networks (SEENNs). To determine the appropriate number of timesteps, we propose SEENN-I which uses a confidence score thresholding to filter out the uncertain predictions, and SEENN-II which determines the number of timesteps by reinforcement learning. Moreover, we demonstrate that SEENN is compatible with both the directly trained SNN and the ANN-SNN conversion. By dynamically adjusting the number of timesteps, our SEENN achieves a remarkable reduction in the average number of timesteps during inference. For example, our SEENN-II ResNet-19 can achieve 96.1% accuracy with an average of 1.08 timesteps on the CIFAR-10 test dataset. Code is shared at https://github.com/Intelligent-Computing-Lab-Yale/SEENN.