Studies of recent decades have repeatedly demonstrated the cytotoxic effect of selenium-containing compounds on cancer cells of various origins. Particular attention in these studies is paid to methylseleninic acid, a widespread selenium-containing compound of organic nature, for several reasons: it has a selective cytotoxic effect on cancer cells, it is cytotoxic in small doses, it is able to generate methylselenol, excluding the action of the enzyme β-lyase. All these qualities make methylseleninic acid an attractive substrate for the production of anticancer drugs on its basis with a well-pronounced selective effect. However, the studies available to date indicate that there is no strictly specific molecular mechanism of its cytotoxic effect in relation to different cancer cell lines and cancer models. This review contains generalized information on the dose- and time-dependent regulation of the toxic effect of methylseleninic acid on the proliferative properties of a number of cancer cell lines. In addition, special attention in this review is paid to the influence of this selenium-containing compound on the regulation of endoplasmic reticulum stress and on the expression of seven selenoproteins, which are localized in the endoplasmic reticulum.