Selenium (Se) is an essential element to human health that can be obtained in nature through several sources. In the human body, it is incorporated into selenocysteine, an amino acid used to synthesize several selenoproteins, which have an active center usually dependent on the presence of Se. Although Se shows several beneficial properties in human health, it has also a narrow therapeutic window, and therefore the excessive intake of inorganic and organic Se‐based compounds often leads to toxicity. Nanoparticles based on Se (SeNPs) are less toxic than inorganic and organic Se. They are both biocompatible and capable of effectively delivering combinations of payloads to specific cells following their functionalization with active targeting ligands. Herein, the main origin of Se intake, its role on the human body, and its primary biomedical applications are revised. Particular focus will be given to the main therapeutic targets that are explored for SeNPs in cancer therapies, discussing the different functionalization methodologies used to improve SeNPs stability, while enabling the extensive delivery of drug‐loaded SeNP to tumor sites, thus avoiding off‐target effects.