We explore the emergence of linear magnetoresistance in thin Bi2Se3 sheets upon tuning the carrier density using a back gate. With increasingly negative gate voltage, a pronounced magnetoresistance of similar to 100% is observed, while the associated B-field dependence changes from quadratic to linear. Concomitantly, the resistance-versus-temperature curves evolve from metallic to semiconductor-like, and increasingly strong weak anti-localization behavior is manifested. Analysis of the magnetoresistance data reveals two contributions, namely from the bulk conduction band and from a state inside the bulk gap. The latter is responsible for the linear magnetoresistance and likely represents the topologically protected surface state. (C) 2012 American Institute of Physics. [http://dx.doi.org/10.1063/1.4719196]