This study has determined whether hydroxy-selenomethionine (OH-SeMet) exerts a better protective action on broilers against environmental stress than sodium selenite (SS) or seleno-yeast (SY). Day-old male Cobb 500 broilers (12 cages/diet, 9 broilers/cage) were fed a selenium (Se)-deficient diet (0.047 mg/kg) supplemented with SS, SY or OH-SeMet at 0.3 mg Se/kg under a high stocking density and heat stress condition for six weeks. OH-SeMet improved the FCR and Se concentration in the tissues than SS and SY. SY and OH-SeMet both reduced the serum cortisol, T3, IL-6, IgA, IgM and LPS, more than SS, while only OH-SeMet further increased IL-10 and IgG. SY and OH-SeMet improved the intestinal morphology and increased the T-AOC, TXRND, SELENON and OCCLUDIN activities but decreased CLAUDIN2 in the jejunum than SS, while OH-SeMet further improved these values than SY. SY and OH-SeMet both increased SELENOS and TXNRD2 in the muscles than SS, and OH-SeMet further raised T-AOC, GPX4, SELENOP, SELENOW and TXNRD1, and reduced malondialdehyde and protein carbonyl in the muscles than SS and SY. OH-SeMet showed a better ability to maintain the performance and the redox and immune status of broilers under a high stocking density and heat stress challenge than SS and SY.