The supplementation of fish diets with OH-SeMet reduces oxidative stress and modulates immune response against bacterial infection. However, despite the importance of essential polyunsaturated fatty acids in fish nutrition and their high risk of oxidation, the potential protective effect of OH-SeMet on these essential fatty acids has not been studied in detail. Moreover, while viral infection is very relevant in seabream production, no studies have focused the Se effects against viral infection. The aim of the present study was to assess the impact of dietary supplementation with OH-SeMet on gilthead seabream fatty acid profiles, growth performance and response against viral infection. Gilthead seabream juveniles (21.73 ± 0.27 g) were fed for 91 days with three experimental diets, a control diet without supplementation of Se (0.29 mg Se kg diet−1) and two diets supplemented with OH-SeMet (0.52 and 0.79 mg Se kg diet−1). A crowding stress test was performed at week 7 and an anti-viral response challenge were conducted at the end of the feeding trial. Selenium, proximate and fatty acid composition of diets and body tissues were analyzed. Although fish growth was not affected, elevation in dietary Se proportionally raised Se content in body tissues, increased lipid content in the whole body and promoted retention and synthesis of n-3 polyunsaturated fatty acids. Specifically, a net production of DHA was observed in those fish fed diets with a higher Se content. Additionally, both monounsaturated and saturated fatty acids were significantly reduced by the increase in dietary Se. Despite the elevation of dietary Se to 0.79 mg kg−1 not affecting basal cortisol levels, 2 h post-stress plasma cortisol levels were markedly increased. Finally, at 24 h post-stimulation, dietary OH-SeMet supplementation significantly increased the expression of the antiviral response myxovirus protein gene, showing, for the first time in gilthead seabream, the importance of dietary Se levels on antiviral defense.