Currently, selenium and polysaccharide combinations can be identified as three forms: natural selenium polysaccharides, synthetic selenium polysaccharides and selenium nanoparticles decorated with polysaccharides. Previous studies have indicated that these three combinations generally show better bioactivities, including immunomodulation, anti-tumour, antioxidation and glucose regulation, than those of either selenium or polysaccharides alone. Although they have not yet been developed as new drugs for clinical trials, results from previous studies have already shown their therapeutic potential for the future. In this article, we summarize our current state of understanding of the sources, preparation methods, physicochemical characteristics and bioactivities of these combinations for the discovery of novel therapeutic drugs and adjuvants.