Effect of selenium (Se) supplementation on the selenoprotein and lipid metabolism gene expression patterns in ruminants, especially in lambs is not yet fully understood. The aim of study was to evaluate the effect of Se supplementation on the messenger RNA (mRNA) expression patterns of selected selenoproteins and genes related to lipid metabolism in growing lambs. The experiment was conducted on 48 Polish Merino lambs divided into two groups (n = 24): control (C)—lambs fed with a basal diet (BD) with no Se supplementation, and supplemented (S)—lambs fed with a BD, supplemented with 0.5 mg Se/kg as sodium selenate for 8 weeks. Expression of 12 selenoproteins and six genes related to lipid metabolism was analyzed in the liver and longissimus dorsi (LD) muscle of growing lambs by qPCR. Significant differences were found in the expression of GPX1, GPX2, SEPM, SEPW1, SEP15, SEPGS2, and TXNRD1 in the liver, and GPX1, SEPP1, SEPN1, SEPW1, SEP15, and MSRB1 in the LD muscle between S and C lambs. Se supplementation mainly upregulated SEPW1, SEP15 (P < 0.001; P < 0.01) mRNA expression in the liver, and GPX1, SEPP1, SEPN1, SEPW1 (P < 0.001; P < 0.01) in the muscle of S group. On the other hand, significant decrease in GPX2 (P < 0.01), SEPM (P < 0.001), and SEPHS2 (P < 0.01) mRNA expression levels were observed in the liver of S group of lambs. Se supplementation did not affect PON1, LXRα, and PPARα mRNA expression levels, but a significant increase in mRNA levels of APOE and LPL in the LD muscle (P < 0.05) as well as LPL (P < 0.05) in the liver were noticed in the group of Se supplemented lambs. Our study confirmed that, in lambs, similarly to other species, mRNA expression patterns of several selenoproteins highly depend on dietary Se levels, and their expression is ruled by hierarchical principles and tissue-specific mechanisms. Moreover, the study showed that changes Se intake leads to different levels of genes expression related with lipid metabolism.