Dietary selenium (]Se), mainly through its incorporation into selenoproteins, plays an important role in inflammation and immunity. Adequate levels of Se are important for initiating immunity, but they are also involved in regulating excessive immune responses and chronic inflammation. Evidence has emerged regarding roles for individual selenoproteins in regulating inflammation and immunity, and this has provided important insight into mechanisms by which Se influences these processes. Se deficiency has long been recognized to negatively impact immune cells during activation, differentiation, and proliferation. This is related to increased oxidative stress, but additional functions such as protein folding and calcium flux may also be impaired in immune cells under Se deficient conditions. Supplementing diets with above-adequate levels of Se can also impinge on immune cell function, with some types of inflammation and immunity particularly affected and sexually dimorphic effects of Se levels in some cases. In this comprehensive article, the roles of Se and individual selenoproteins in regulating immune cell signaling and function are discussed. Particular emphasis is given to how Se and selenoproteins are linked to redox signaling, oxidative burst, calcium flux, and the subsequent effector functions of immune cells. Data obtained from cell culture and animal models are reviewed and compared with those involving human physiology and pathophysiology, including the effects of Se levels on inflammatory or immune-related diseases including anti-viral immunity, autoimmunity, sepsis, allergic asthma, and chronic inflammatory disorders. Finally, the benefits and potential adverse effects of intervention with Se supplementation for various inflammatory or immune disorders are discussed.