Se-containing polysaccharide is known to Se-conjugated macromolecule, with potent bioactivities due to the synergistic effects of Se and native polysaccharide. It is not only explored as a novel Se source in dietary supplement, but also as the superb bioactive component owning various functions, including antioxidant, antitumor, immune-enhancement, hepatoprotective, antidiabetic, anti-inflammatory and neuroprotective activities. Se-containing polysaccharide can exert the efficacy of Se and polysaccharide, and its activities are much higher than those of Se or polysaccharide. In the last decades, numerous reports on Se-containing polysaccharide (including natural Se-containing polysaccharide and selenylated polysaccharide) appeared in literature. For the first time, this article systematically introduces recent advances on preparation, structural characterization and bioactivities of Se-containing polysaccharide in details, and discusses its future prospects and the weaknesses in the current study.