To evaluate the effects of dietary nano‐selenium (Nano‐Se) on antioxidant capacity and hypoxia tolerance of grass carp fed with high‐fat diet, experimental fishes were fed Nano‐Se supplemented diets at doses of 0 (Control), 0.3, 0.6, 0.9 and 1.2 mg/kg for 10 weeks. After feeding trial, a part of the fishes were exposed to hypoxia stress. Results showed that the survival ratio of grass carp significantly increased in 0.6 and 0.9 mg/kg Nano‐Se group, and the content of serum alanine aminotransferase (ALT) and aspartate aminotransferase (AST) significantly decreased in 0.6–1.2 mg/kg Nano‐Se groups compared with the control group. In addition, dietary Nano‐Se significantly enhanced glutathione peroxidase (GPX) activity and reduced the malondialdehyde (MDA) content in fishes fed diets with 0.3 and 0.6 mg/kg Nano‐Se. Dietary Nano‐Se significantly elevated mRNA expression of GPX1 and catalase (CAT) by promoting the mRNA expression of NF‐E2‐related nuclear factor 2 (Nrf2) in the hepatopancreas. After hypoxia stress, the GPX and superoxide dismutase (SOD) activities were significantly enhanced, and the MDA content and mortality rate consequently decreased in fishes fed diets with 0.3 and 0.6 mg/kg Nano‐Se. In summary, these results suggested that optimal Nano‐Se in diet enhanced the antioxidant capacity and hypoxia tolerance of grass carp.