This study addresses the effect of various cooking approaches on total Hg (HgT) and total Se (SeT) contents in three predatory fish species. For this purpose, samples of swordfish, dogfish, and tuna from regular French (fish) markets were cooked by boiling, steaming, grilling, and frying, respectively. The levels of HgT and SeT in raw and cooked samples were determined by inductively coupled plasma-mass spectrometry. The data showed a significant increase in HgT and SeT levels between raw and cooked samples (33% of the samples for SeT and 67% for HgT) due to the water loss during the cooking. High intra-species variation related to HgT and SeT levels was found. Considering the level of exposure to HgT through fish consumption and taking also into account the possible protective effect of Se (expressed here via the Se/Hg molar ratio), the safest cooking approach corresponds to grilled swordfish, fried tuna, and steamed dogfish, which show Se/Hg molar ratios of (1.0 ± 0.5), (4.3 ± 4.2), and (1.0 ± 0.6), respectively.