Surface-capping agents play key roles in cellular uptake and biological activity of functional nanomaterials. In the present study, functionalized selenium nanoparticles (SeNPs) have been successfully synthesized using Polyporus rhinocerus water-soluble polysaccharide-protein complexes (PRW) as the capping agent during the reduction of selenium salts. The acquired monodisperse, spherical PRW-SeNPs presented desirable size distribution and stability in the solution. Moreover, PRW surface decoration significantly enhanced the cellular uptake of SeNPs via endocytosis. Exposure to PRW-SeNPs significantly inhibited the growth of A549 cells through induction of apoptosis and G2/M phase arrest (IC50 = 4.06 ± 0.25 μM) supported by an increase of sub-G1 and G2/M phase cell populations, DNA fragmentation, and chromatin condensation. Caspase-3/8 activation induced by PRW-SeNPs indicated that the activation of death receptors was the main cause of PRW-SeNP-induced apoptosis. Collectively, the results suggest that it is highly efficient to use PRW as a surface decorator of SeNPs to enhance cellular uptake and anticancer efficacy, and the PRW-SeNPs are potential chemopreventive agents for lung cancer therapy.