It is well known that oxidation caused by reactive oxygen species (ROS) is a major cause of cellular damage and death and has been implicated in cancer, neurodegenerative, and cardiovascular diseases. Small-molecule antioxidants containing sulfur and selenium can ameliorate oxidative damage, and cells employ multiple antioxidant mechanisms to prevent this cellular damage. However, current research has focused mainly on clinical, epidemiological, and in vivo studies with little emphasis on the antioxidant mechanisms responsible for observed sulfur and selenium antioxidant activities. In addition, the antioxidant properties of sulfur compounds are commonly compared to selenium antioxidant properties; however, sulfur and selenium antioxidant activities can be quite distinct, with each utilizing different antioxidant mechanisms to prevent oxidative cellular damage. In the present review, we discuss the antioxidant activities of sulfur and selenium compounds, focusing on several antioxidant mechanisms, including ROS scavenging, glutathione peroxidase, and metal-binding antioxidant mechanisms. Findings of several recent clinical, epidemiological, and in vivo studies highlight the need for future studies that specifically focus on the chemical mechanisms of sulfur and selenium antioxidant behavior.