Dietary selenium (Se) deficiency is known to cause myodynia syndrome and Se influences immune responses by changing the expression of inflammatory cytokines and heat shock proteins (Hsps), but the details are not completely elucidated. In the present study, 72 1-day-old mice were divided into two groups; the first group was fed a Se-sufficient diet, while the second group was fed a Se-deficient diet. Skeletal muscles and blood samples were taken from all mice after 42 days of treatment. The activities of glutathione peroxidase (GPX) and glutathione (GSH), mRNA and protein expression levels of inflammatory cytokines (including TNF-α, inducible NO synthase, cyclooxygenase-2, and prostaglandin E synthases), protein expression levels of NF-κB, and the mRNA expression levels of Hsps in the skeletal muscles of mice were examined. The results showed that GPX and GSH activities were decreased, while the mRNA and protein expression levels of inflammatory cytokines and the mRNA levels of Hsps were increased by Se deficiency in mouse skeletal muscles. In the present study, the protective role of Se in oxidative stress, inflammatory cytokines, and Hsps in the skeletal muscles of mice was summarized.