Soil moisture stress is one of the most serious aspects of climate change. Selenium (Se) is regarded as an essential element for animal health and has been demonstrated to protect plants from a number of abiotic challenges; however, our knowledge of Se-regulated mechanisms for enhancing crop yield is limited. We investigated the effects of exogenous Se supplementation on physiological processes that may impact wheat productivity during soil moisture stress. The plants were grown in plastic containers under screen-house conditions. The experiment was laid out in CRD consisting of three soil moisture regimes, i.e., control (soil moisture content of 12.5 ± 0.05%), moderate (soil moisture content of 8.5 ± 0.05%), and severe moisture stress (soil moisture content of 4.5 ± 0.05%). Selenium was supplied using sodium selenite (Na2SeO3) through soil application before sowing (10 ppm) and foliar application (20 ppm and 40 ppm) at two different growth stages. The foliar spray of Se was applied at the vegetative stage (70 days after planting) and was repeated 3 weeks later, whereas the control consisted of a water spray. The water status, photosynthetic efficiency, and yield were significantly decreased due to the soil’s moisture stress. The exogenous Se application of 40 ppm resulted in decreased negative leaf water potential and improved relative water contents, photosynthetic rate, transpiration rate, and stomatal conductance in comparison to the control (without selenium) under water shortage conditions except the plants treated with soil application of selenium under severe moisture stress at 70 DAS. Subsequently, Se-regulated mechanisms improved 100 seed weight, biological yield, and seed yield per plant. We suggest that Se foliar spray (40 ppm) is a practical and affordable strategy to increase wheat output in arid and semi-arid regions of the world that are experiencing severe water shortages.