Selenium (Se), is an essential trace element that primarily functions in the form of selenoproteins. These selenoproteins play crucial roles in the functioning of the human organism, including anti-inflammatory processes, regulating redox balance, participating in the metabolism of thyroid hormones, and maintaining the proper functioning of the immune system. The synthesis of selenoproteins is a complex process that relies on adequate selenium intake and involves multiple specific factors. A deficiency in selenium can lead to a variety of health issues, such as Keshan disease (cardiomyopathy) and Kashin–Beck disease (osteochondropathy), liver diseases, and cancer. Nanoscale selenium particles exhibit superior conversion and utilization compared to conventional inorganic and organic forms. Surface modifications of Se nanoparticles enable them to perform diverse physiological functions. Thus, the modification of selenium-containing nanomaterials, particularly their surface properties, is crucial for understanding Se’s biological roles in antitumor activity, immunotherapy, and inflammatory responses. We summarize the preparation methods and chemical properties of various active selenium nanoparticles (SeNPs), discuss the rational design and biomedical applications of modified selenium nanomaterials in immunotherapy, and propose a network approach for their design and biological effects.