It is known that selenium (Se) is an essential trace element, important for the growth and other biological functions of fish. One of its most important functions is to contribute to the preservation of certain biological components, such as DNA, proteins, and lipids, providing protection against free radicals resulting from normal metabolism. The objective of this study was to evaluate and optimize selenium accumulation in the native yeast Rhodotorula mucilaginosa 6S. Sodium selenite was evaluated at different concentrations (5–10–15–20–30–40 mg/L). Similarly, the effects of different concentrations of nitrogen sources and pH on cell growth and selenium accumulation in the yeast were analyzed. Subsequently, the best cultivation conditions were scaled up to a 2 L reactor with constant aeration, and the proteome of the yeast cultured with and without sodium selenite was evaluated. The optimal conditions for biomass generation and selenium accumulation were found with ammonium chloride and pH 5.5. Incorporating sodium selenite (30 mg/L) during the exponential phase in the bioreactor after 72 h of cultivation resulted in 10 g/L of biomass, with 0.25 mg total Se/g biomass, composed of 25% proteins, 15% lipids, and 0.850 mg total carotenoids/g biomass. The analysis of the proteomes associated with yeast cultivation with and without selenium revealed a total of 1871 proteins. The results obtained showed that the dynamic changes in the proteome, in response to selenium in the experimental medium, are directly related to catalytic activity and oxidoreductase activity in the yeast. R. mucilaginosa 6S could be an alternative for the generation of selenium-rich biomass with a composition of other nutritional compounds also of interest in aquaculture, such as proteins, lipids, and pigments.