Selenium is a potent nutritional antioxidant that carries out biological effects through its incorporation into selenoproteins. Given the crucial roles that selenoproteins play in regulating reactive oxygen species (ROS) and redox status in nearly all tissues, it is not surprising that dietary selenium strongly influences inflammation and immune responses. The notion that selenium “boosts” the immune system has been supported by studies involving aging immunity or protection against certain pathogens. However, studies examining the effects of selenium status on other types of immunity such as antiparasitic responses or allergic asthma have suggested more selenium may not always be beneficial. In this review, we summarize and compare the available data regarding how the levels of selenium affect different types of immunity. Overall, determining how selenium intake differentially affects various types of immune responses and dissecting the mechanisms by which this occurs will lead to a better utilization of Se-supplementation for human diseases involving the immune system.