Selenium (Se) is an essential micronutrient of organism and has important function. It participates in the functions of selenoprotein in several manners. In recent years, Se has attracted much attention because of its therapeutic potential against several diseases. Many natural and synthetic organic Se-containing compounds were studied and explored for the treatment of cancer and other diseases. Studies have showed that incorporation of Se atom into small molecules significantly enhanced their bioactivities. In this paper, according to different applications and structural characteristics, the research progress and therapeutic application of Se-containing compounds are reviewed, and more than 110 Se-containing compounds were selected as representatives which showed potent activities such as anticancer, antioxidant, antifibrolytic, antiparasitic, antibacterial, antiviral, antifungal and central nervous system related effects. This review is expected to provide a basis for further study of new promising Se-containing compounds.