Selective catalytic oxidation plays a crucial role in both fine chemical and petrochemical industries for the production of significant intermediates, however, it remains challenging to obtain the target product selectively when multiple reaction paths coexist. To overcome this challenge, the recently developed single atom catalysts provide opportunities for highly selective catalytic oxidation, whose catalytic behaviors are distinct from those of nanoclusters and nanoparticles. This review is devoted to summarizing the recent advances in the exploitation of novel catalytic materials (single atoms, nanoclusters and nanoparticles) for four challenging selective oxidation reactions in terms of adsorption, activation and reaction, including selective oxidation of methane, aerobic oxidation of alcohols, epoxidation of alkenes, and preferential oxidation of carbon monoxide in hydrogen. The key factors affecting the catalytic performance, especially the electronic and geometric structures of the single atoms, nanoclusters, and nanoparticles will be discussed. A deep understanding of the active species, active structures, activity-structure relationship and mechanisms for these catalytic systems are highlighted, and the current challenges and future developments are also provided, with the aim to give guidance for the design of efficient and highly selective catalysts for heterogeneous oxidation reactions, and to better understand their catalytic behaviors in a unified way.