The Agaricus brasiliensis proves to be the main source of many minerals, especially selenium (Se). In this study, Se-containing polysaccharides and proteins were isolated, purified, and characterized. The 1,1-diphenyl-2-picrylhydrazyl (DPPH) and hydroxyl radical scavenging activity of Se-containing proteins and polysaccharides were also studied. Selenium in A. brasiliensis is present mostly in organic forms, accounting for 81.57% of the total Se. The organic forms of selenium mainly present in Se proteins account for 73.53%, while 12.23% is in Se polysaccharides. Two Se-containing proteins (AB-SePA-22) and (AB-SePG-22) with Se contents of 4.935 µg/g and 6.083 µg/g were obtained. AB-SePA-22 appeared as four bands with molecular masses of 16.7, 21.7, 26.3, and 33.6 kDa, respectively. The Se content of the three Se-containing polysaccharides, namely AB-SeP-1, AB-SeP-2, and AB-SeP-3, were 1.911, 0.613, and 0.671 µg/g, respectively. AB-SeP-1 (3.1×103 Da) was composed of glucose and galactose in a 7.494:1 molar ratio, whereas AB-SeP-2 (2.1×104 Da and 3.5×104 Da) and AB-SeP-3 (1.1×105 Da) were composed of glucose, galactose, and mannose with molar ratios of 27.01:1.55:1 and 9.805:1:1.22, respectively. Moreover, crude Se polysaccharide and total soluble Se protein had good antioxidant activities on scavenging DPPH and hydroxyl radical, and further research is needed.