This study aimed to investigate the role of Se supply in improving osmotic stress tolerance in coffee seedlings while also evaluating the best timing for Se application. Five times of Se foliar application were assessed during induced osmotic stress with PEG-6000 using the day of imposing stress as a default, plus two control treatments: with osmotic stress and without Se, and without osmotic stress and Se. Results demonstrated that osmotic stress (OS) promoted mild stress in the coffee plants (ψw from −1.5MPa to −2.5 MPa). Control plants under stress showed seven and five times lower activity of the enzymes GR and SOD compared with the non-stressed ones, and OS was found to further induce starch degradation, which was potentialized by the Se foliar supply. The seedlings that received foliar Se application 8 days before the stress exhibited higher CAT, APX, and SOD than the absolute control (−OS-Se)—771.1%, 356.3%, and 266.5% higher, respectively. In conclusion, previous Se foliar spray is more effective than the Se supply after OS to overcome the adverse condition. On the other hand, the post-stress application seems to impose extra stress on the plants, leading them to reduce their water potential.