Selenium (Se) and its compounds have been reported to have great potential in the prevention and treatment of Alzheimer’s disease (AD). However, little is known about the functional mechanism of Se in these processes, limiting its further clinical application. Se exerts its biological functions mainly through selenoproteins, which play vital roles in maintaining optimal brain function. Therefore, selenoproteins, especially brain function-associated selenoproteins, may be involved in the pathogenesis of AD. Here, we analyze the expression and distribution of 25 selenoproteins in the brain and summarize the relationships between selenoproteins and brain function by reviewing recent literature and information contained in relevant databases to identify selenoproteins (GPX4, SELENOP, SELENOK, SELENOT, GPX1, SELENOM, SELENOS, and SELENOW) that are highly expressed specifically in AD-related brain regions and closely associated with brain function. Finally, the potential functions of these selenoproteins in AD are discussed, for example, the function of GPX4 in ferroptosis and the effects of the endoplasmic reticulum (ER)-resident protein SELENOK on Ca2+ homeostasis and receptor-mediated synaptic functions. This review discusses selenoproteins that are closely associated with brain function and the relevant pathways of their involvement in AD pathology to provide new directions for research on the mechanism of Se in AD.