Malignant pleural effusion (MPE) poses a significant challenge in local treatment, primarily attributed to its intricate tumor immune microenvironment. The immunosuppression of natural killer (NK) cells within the microenvironment, exacerbated by selenium (Se) deficiency, constitutes a pivotal treatment bottleneck. Building upon prior investigations, this study delves into the impact and mechanisms of functionalized lentinan selenium nanoparticles (LET‐SeNPs) on NK cells in MPE, presenting a novel local treatment strategy for lung adenocarcinoma with malignant pleural effusion (MPE‐LA). The synergistic application of LET‐SeNPs serves to replenish Se levels in MPE, modulate NK cells, augment their quantity, restore and enhance their functionality. Additionally, LET‐SeNPs facilitate NK cells activation through the TrxR1‐IL18RAP‐pSTAT3 pathway, resulting in effective lung cancer cell eradication and reduced pleural effusion production. Furthermore, pre‐stimulation of NK cells by LET‐SeNPs, combined with CAR‐NK cell therapy, harnesses the innate immune system, exhibiting a potent anti‐tumor effect. This research introduces a compelling strategy to advance the clinical implementation of targeted nanomaterials or lead compounds with explicit targets and mechanisms, thereby enhancing NK cell therapy for comprehensive diagnosis and treatment of MPE.