Selenium (Se) has been known for its beneficial biological roles for several years, but interest in this trace element has seen a significant increase in the past couple of decades. It has been reported to be a part of important bioactive organic compounds, such as selenoproteins and amino acids, including selenocysteine (SeCys), selenomethionine (SeMet), selenazolidine (SeAzo), and selenoneine. The traditional Se supplementations (primarily as selenite and selenomethionine), though have been shown to carry some benefits, also have associated toxicities, thereby paving the way for the organoselenium compounds, especially the selenoproteins and peptides (SePs/SePPs) that offer several health benefits beyond fulfilling the elementary nutritional Se needs. This review aims to showcase the applications of selenium-containing peptides that have been reported in recent decades. This article summarizes their bioactivities, including neuroprotective, antiinflammatory, anticancer, antioxidant, hepatoprotective, and immunomodulatory roles. This will offer the readers a sneak peek into the current advancements to invoke further developments in this emerging research area.