The review presents the latest data on the role of selenium-containing agents in the regulation of diseases of the immune system. We mainly considered the contributions of selenium-containing compounds such as sodium selenite, methylseleninic acid, selenomethionine, and methylselenocysteine, as well as selenoproteins and selenium nanoparticles in the regulation of defense mechanisms against various viral infections, including coronavirus infection (COVID-19). A complete description of the available data for each of the above selenium compounds and the mechanisms underlying the regulation of immune processes with the active participation of these selenium agents, as well as their therapeutic and pharmacological potential, is presented. The main purpose of this review is to systematize the available information, supplemented by data obtained in our laboratory, on the important role of selenium compounds in all of these processes. In addition, the presented information makes it possible to understand the key differences in the mechanisms of action of these compounds, depending on their chemical and physical properties, which is important for obtaining a holistic picture and prospects for creating drugs based on them.