As an essential element for plants, animals, and humans, selenium (Se) has been shown to participate in microbial methane oxidation. We studied the growth response and rhizosphere methane oxidation of an economic crop (prickly pear, Rosa roxburghii Tratt) through three treatments (Se0.6 mg/kg, Se2.0 mg/kg, and Se10 mg/kg) and a control (Se0 mg/kg) in a two-month pot experiment. The results showed that the height, total biomass, root biomass, and leaf biomass of prickly pear were significantly increased in the Se0.6 and Se2.0 treatments. The root-to-shoot ratio of prickly pear reached a maximum value in the Se2 treatment. The leaf carotenoid contents significantly increased in the three treatments. Antioxidant activities significantly increased in the Se0.6 and Se2 treatments. Low Se contents (0.6, 2 mg/kg) promoted root growth, including dry weight, length, surface area, volume, and root activity. There was a significant linear relationship between root and aboveground Se contents. The Se translocation factor increased as the soil Se content increased, ranging from 0.173 to 0.288. The application of Se can improve the state of rhizosphere soil’s organic C and soil nutrients (N, P, and K). Se significantly promoted the methane oxidation rate in rhizosphere soils, and the Se10 treatment showed the highest methane oxidation rate. The soil Se gradients led to differentiation in the growth, rhizosphere soil properties, and methane oxidation capacity of prickly pear. The root Se content and Se translocation factor were significantly positively correlated with the methane oxidation rate. Prickly pear can accumulate Se when grown in Se-enriched soil. The 2 mg/kg Se soil treatment enhanced growth and methane oxidation in the rhizosphere soil of prickly pear.