Selenium (Se) acts as an essential trace element in the human body due to its unique biological functions, particularly in the oxidation-reduction system. Although several clinical trials indicated no significant benefit of Se in preventing cancer, researchers reported that some Se species exhibit superior anticancer properties. Therefore, a reassessment of the status of Se and Se compounds is necessary in order to provide clearer insights into the potentiality of Se in cancer prevention and therapy. In this review, we organize relevant forms of Se species based on the three main categories of Se—inorganic, organic, and Se-containing nanoparticles (SeNPs)—and overview their potential functions and applications in oncology. Here, we specifically focus on the SeNPs as they have tremendous potential in oncology and other fields. In general, to make better use of Se compounds in cancer prevention and therapy, extensive further study is still required to understand the underlying mechanisms of the Se compounds.