This study aimed to evaluate the effects of increasing selenium (Se) supply for heat-stressed or actively cooled sows on sow productivity, colostrum and milk composition, as well as the selenium and antioxidant status and immunoglobulin levels of sows and nursing piglets. The study was a 2 × 2 factorial design, where the first factor was farrowing environment [heat stress vs. actively cooling, temperature: 29.61 ± 0.19 ℃ (27.70-31.60 ℃) vs. 27.90 ± 0.15 ℃ (26.90-30.20 ℃); temperature-humidity index: 72.91 ± 0.26 (70.30-75.70) vs. 70.81 ± 0.22 (69.30-73.80)], and the second factor was dietary Se level during late gestation and lactation [(0.3 vs. 1.2 mg/kg Se as Se-yeast, the basal diet was corn-soybean meal diet formulated according to NRC (2012) except for Se level]. Forty multiparous sows (Landrace × Yorkshire) were randomly allotted to 1 of 4 treatments (10 sows and following 90 piglets per treatment, respectively). The results show that: (1) There were no interactions of farrowing environment with Se treatments with the exceptions of nutrient content of 7-d milk; (2) As for zootechnical measures, piglets of sows receiving increasing Se tended to have greater preweaning survival compared with those of sows receiving control diet without interactions of environment and Se treatments; (3) As to colostrum and milk composition, greater concentrations of protein, lactose, solids-not-fat in colostrum, and greater fat concentration in 7-d and 14-d milk were found for sows fed increasing Se; (4) Regarding Se and antioxidant status, increasing Se supply for sows increased Se content in colostrum and 21-d milk, as well as in plasma of 1-day-old and 21-day-old piglets. Meanwhile, increasing Se supply for sows improved antioxidant status in colostrum (MDA content) and 21-d milk (T-AOC and MDA content), as well as in plasma of 1-day-old and 21-day-old piglets (GSH-Px activity and MDA content); (5) With regard to immunoglobulins, sows fed increasing Se had higher IgM levels in colostrum, and higher IgA in 21-d milk. Also, piglets from sows fed increasing Se had higher plasma IgA at 1 d of age, and higher IgA and IgG levels at 21 d of age. Collectively, increasing selenium supply for heat-stressed or actively cooled sows improved piglet preweaning survival, colostrum and milk composition, as well as maternal selenium, antioxidant status and immunoglobulin transfer irrespective of the climatic conditions, which indicates that Se requirements for sows should be urgently reassessed.