Selenium nanoparticles (SeNPs) have limited bioavailability because of their poor stability in aqueous solutions. AAGL, a naturally active protein, extracted from Agrocybe aegerita has strong antitumor activity. However, AAGL has been used to stabilize SeNPs, and whether it exerts anti-lung cancer effects remains unknown. In this study, a novel nanocomposite, AAGL-SeNPs, was prepared using AAGL-encapsulated SeNPs. The particle size of the AAGL-SeNPs was approximately 206.1 nm, which was uniform and well dispersed in aqueous solution and showed satisfactory stability. AAGL-SeNPs was non-toxic and reduced the hepatotoxicity of AAGL in mice. Importantly, AAGL-SeNPs inhibited the proliferation of lung cancer cells and suppressed tumor growth in tumor-bearing mice. AAGL-SeNPs enhanced the cytotoxic effects on lung cancer cells by stimulating immune cells. In addition, the combination of AAGL-SeNPs and osimertinib inhibited lung cancer, and AAGL-SeNPs reversed osimertinib resistance in H1975 cells. Mechanistically, Krüppel-like transcriptional factor 4 (KLF4) was identified by data-independent acquisition mass spectrometry (DIA-MS), and its expression levels in lung cancer increased after AAGL-SeNPs treatment. This study demonstrated that nanocomposite AAGL-SeNPs is stable, safe, and has excellent antitumor efficacy, which will be a potential therapeutic drug for lung cancer treatment.