The trace element selenium (Se) is an essential part of the human diet; moreover, increased health risks have been observed with Se deficiency. A sufficiently high Se status is a prerequisite for adequate immune response, and preventable endemic diseases are known from areas with Se deficiency. Biomarkers of Se status decline strongly in pregnancy, severe illness, or COVID-19, reaching critically low concentrations. Notably, these conditions are associated with an increased risk for autoimmune disease (AID). Positive effects on the immune system are observed with Se supplementation in pregnancy, autoimmune thyroid disease, and recovery from severe illness. However, some studies reported null results; the database is small, and randomized trials are sparse. The current need for research on the link between AID and Se deficiency is particularly obvious for rheumatoid arthritis and type 1 diabetes mellitus. Despite these gaps in knowledge, it seems timely to realize that severe Se deficiency may trigger AID in susceptible subjects. Improved dietary choices or supplemental Se are efficient ways to avoid severe Se deficiency, thereby decreasing AID risk and improving disease course. A personalized approach is needed in clinics and during therapy, while population-wide measures should be considered for areas with habitual low Se intake. Finland has been adding Se to its food chain for more than 35 years—a wise and commendable decision, according to today’s knowledge. It is unfortunate that the health risks of Se deficiency are often neglected, while possible side effects of Se supplementation are exaggerated, leading to disregard for this safe and promising preventive and adjuvant treatment options. This is especially true in the follow-up situations of pregnancy, severe illness, or COVID-19, where massive Se deficiencies have developed and are associated with AID risk, long-lasting health impairments, and slow recovery.