The objective of this research was to test whether selenium-yeast (Se-yeast) is a better source of selenium than sodium selenite for accumulation in mycelia and immunoactive cell wall polysaccharides. Culture media were enriched in selenium to a concentration of 20 µg/mL. Selenium was added to the medium either in the form of sodium selenite or in form of Se-yeast (Sel-Plex; Alltech Inc., Lexington, KY). The total selenium concentrations in the mycelium biomass and in the isolated crude polysaccharides were determined using atomic absorption spectroscopy. We found that selenium accumulated more efficiently in cultures enriched with Se-yeast. A higher concentration of selenium was also found in the crude polysaccharide fractions isolated from the mycelium grown in Se-yeast-enriched media. With the use of the needle trap gas chromatography-mass spectrometry method, we found that there are significant differences in the composition of the volatile aroma and flavor compounds secreted by the mycelia cultivated in different media.