Selenium (Se) is an essential nutrient that has gained attention for its impact on the human immune system. The purpose of this review is to explore Se’s immunomodulatory properties and to make up-to-date information available so novel therapeutic applications may emerge. People acquire Se through dietary ingestion, supplementation, or nanoparticle applications. These forms of Se can beneficially modulate the immune system by enhancing antioxidant activity, optimizing the innate immune response, improving the adaptive immune response, and promoting healthy gut microbiota. Because of these many actions, Se supplementation can help prevent and treat pathogenic diseases, autoimmune diseases, and cancers. This review will discuss Se as a key micronutrient with versatile applications that supports disease management due to its beneficial immunomodulatory effects. Further research is warranted to determine safe dosing guidelines to avoid toxicity and refine the application of Se in medical treatments.