Selenium (Se) is a micronutrient with promising breast cancer prevention and treatment potential. There is extensive preclinical evidence of Se mammary carcinogenesis inhibition. Evidence from epidemiological studies is, however, unclear and intervention studies are rare. Here, we examine Se chemoprotection, chemoprevention, and chemotherapy effects in breast cancer, focusing on associated cellular and molecular mechanisms. Se exerts its protective actions through multiple mechanisms that involve antioxidant activities, induction of apoptosis, and inhibition of DNA damage, cell proliferation, angiogenesis, and invasion. New aspects of Se actions in breast cancer have emerged such as the impact of genetic polymorphisms on Se metabolism and response, new functions of selenoproteins, epigenetic modulation of gene expression, and long-term influence of early-life exposure on disease risk. Opportunity exists to design interventional studies with Se for breast cancer prevention and treatment taking into consideration these key aspects.