The present work aimed at assessing passive, innate, and acquired immunity in piglets from sows supplemented with either organic or inorganic selenium (Se). A total of 12 multiparous pregnant sows were randomly allocated to three groups: selenium-deficient, corn and soy-based diet base diet (BD), 0.3 mg Se/kg as hydroxy-selenomethionine (OH-SeMet), and 0.3 mg Se/kg as sodium selenite (SS). The feeding trial was carried out from gd 84 to weaning on postpartum day 21 (ppd 21). On gd 98 and 105, sows were vaccinated with hen egg white lysozyme (HEWL) to assess passive immunity. On ppd 23, weaned piglets were intramuscularly challenged with lipopolysaccharide (LPS) to trigger an acute-phase response. On ppd 14, 28, and 35, piglets were vaccinated with ovalbumin (OVA) to assess OVA-specific immunoglobulin G (IgG) and dermal hypersensitivity responses. Se levels in piglet plasma, muscle, and liver on ppd 21 were higher in OH-SeMet group. On ppd 2, piglet HEWL-specific IgG levels in OH-SeMet group were significantly increased. IL-10 and haptoglobin (HP) levels in OH-SeMet group were significantly increased 2 h and 48 h post-LPS simulation, respectively. The OVA-specific IgG levels in BD group were significantly higher than the other two groups, and the IL-4 concentration following whole blood ex vivo challenge with either OVA or mitogen was significantly increased in OH-SeMet group. OVA-specific skin swelling was lower in OH-SeMet and SS groups at 3 h and 6 h. This suggests that sow supplementation with OH-SeMet enhances mainly passive immunity through IgG maternal transfer and can influence piglet innate and acquired immunity.