The application of strain to semiconductors allows for controlled modification of their band structure. This principle is employed for the manufacturing of devices ranging from high-performance transistors to solid-state lasers. Traditionally, strain is typically achieved via growth on lattice-mismatched substrates. For two-dimensional (2D) semiconductors, this is not feasible as they typically do not interact epitaxially with the substrate. Here, we demonstrate controlled strain engineering of 2D semiconductors during synthesis by utilizing the thermal coefficient of expansion mismatch between the substrate and semiconductor. Using WSe2 as a model system, we demonstrate stable built-in strains ranging from 1% tensile to 0.2% compressive on substrates with different thermal coefficient of expansion. Consequently, we observe a dramatic modulation of the band structure, manifested by a strain-driven indirect-to-direct bandgap transition and brightening of the dark exciton in bilayer and monolayer WSe2, respectively. The growth method developed here should enable flexibility in design of more sophisticated devices based on 2D materials.