Selenium (Se) is an essential element for humans. However, much of the world’s human population is deficient in this element, which has become a public health problem. This study aimed to evaluate whether applying severe water stress to wheat plants (Triticum aestivum L.) could allow Se to reduce the production losses and increase the grain quality, thereby contributing to the reduction in hidden hunger. The experiment was conducted in a randomized block design with four replications in a 5 × 2 factorial scheme, with five doses of Se (0.00, 0.25, 0.50, 1.00, and 2.00 mg dm−3) and two irrigation conditions (with and without water deficit). When sodium selenate (Na2SeO4) was applied to the soil, the grains were rich in Se. Under low doses, there was an enrichment of the grains in sulfur, iron, copper, and zinc as well as total free amino acids and total soluble proteins, and lower losses in productivity under severe water stress. Higher doses decreased the concentration of malondialdehyde (MDA) and hydrogen peroxide (H2O2), increased the catalase activity, and increased the water use efficiency (WUE). Therefore, applying Se at a dose of 0.25 mg dm−3 is effective for the biofortification of wheat grains. It enhances grain nutritional quality, increases Se bioaccessibility, and reduces production losses under water stress conditions.