Lung cancer is the leading cause of cancer-related deaths worldwide, and has the highest morbidity among all cancers. Non-small cell lung cancer (NSCLC) accounts for 85% of all lung cancer cases and its most common subtypes are lung adenocarcinoma (LUAD) and lung squamous cell carcinoma (LUSC). Although the selenium protein gene plays a key role in the initiation, development, and progression of many cancers, the panoramic picture of the involvement of selenoprotein gene family in LUAD and LUSC is unclear. Therefore, the expression and prognostic value of the selenoprotein family genes, as well as their potential mechanisms in LUAD and LUSC, were systematically examined in this study. First, differential expression and survival analyses revealed that a high expression of glutathione peroxidase 2 (GPX2) and low expression of both GPX3 and selenoprotein P (SELENOP) in tumors correlated with poor overall survival in patients with LUAD, while a high expression of iodothyronine deiodinase 2 (DIO2) in tumors correlated with better overall survival, and a low expression of GPX3 correlated with poor overall survival in patients with LUSC. Next, we developed a nomogram based on the Cox regression model to visualize survival and confirmed its predictive capability. Methylation, gene mutation, and immune infiltration analyses of selenoprotein genes indicated that they all participated in the progression of LUAD and LUSC. Enrichment analysis and protein–protein interaction networks showed that the common differentially expressed genes mainly participated in selenocompound metabolism, glutathione metabolism, arachidonic acid metabolism, and thyroid hormone synthesis. In addition, we constructed transcription factor (TF)-mRNA, mRNA-RNA-binding protein (RBP), and mRNA-drug regulatory networks. Our research shows that selenoprotein family members have potential as novel biomarkers for prognostic assessment and as therapeutic targets for LUAD and LUSC.