Selenium is an essential microelement required for a number of biological functions. Selenium—and more specifically the amino acid selenocysteine—is present in at least 25 human selenoproteins involved in a wide variety of essential biological functions, ranging from the regulation of reactive oxygen species (ROS) concentration to the biosynthesis of hormones. These processes also play a central role in preventing and modulating the clinical outcome of several diseases, including cancer, diabetes, Alzheimer’s disease, mental disorders, cardiovascular disorders, fertility impairments, inflammation, and infections (including SARS-CoV-2). Over the past years, a number of studies focusing on the relationship between selenium and such pathologies have been reported. Generally, an adequate selenium nutritional state—and in some cases selenium supplementation—have been related to improved prognostic outcome and reduced risk of developing several diseases. On the other hand, supra-nutritional levels might have adverse effects. The results of recent studies focusing on these topics are summarized and discussed in this review, with particular emphasis on advances achieved in the last decade.