The effects of selenium biofortification methods involving sodium selenite and selenium yeast on the structural characteristics, antioxidant activity and binding capacity of Pleurotus eryngii polysaccharides were investigated. Sodium selenite Se-enriched Pleurotus eryngii polysaccharides (Se-SPEP), selenium yeast Se-enriched Pleurotus eryngii polysaccharides (Se-YPEP), and Pleurotus eryngii polysaccharides (PEP) had Se contents of 20.548 ± 1.561, 19.822 ± 0.613, and 0.052 ± 0.016 μg/g, respectively. Compared with PEP, Se-SPEP and Se-YPEP had lower molecular weight and contained the same monosaccharides in varying molar ratios. The results of FT-IR, PS, ZP, and SEM indicated significant alterations in structural characteristics following selenium biofortification. Se-PEPs exhibited superior activity against ABTS, DPPH, and ·OH radicals, as well as the higher binding capacity for Cd and Cu compared to natural polysaccharides. The binding capacity of the polysaccharides for Cd and Cu was higher at pH 6.8 compared to pH 2.0, while the opposite was observed for Pb. Furthermore, Se-PEPs exhibited a significantly higher binding capacity for Cd and Cu at both pH levels compared to natural polysaccharides (P < 0.05). Se-YPEP displayed higher antioxidant activity than Se-SPEP, with their binding capacities reversed. These data indicated that selenium biofortification methods have different positive impacts on the structure and activity of polysaccharides compared to natural polysaccharides, making Se-PEPs promising dietary supplements for safeguarding the body against the risks posed by food-derived heavy metals.