Evidence has shown that metabolic disorders are common in tumor cells, leading to increased oxidative stress. The increase in the production of reactive oxygen species (ROS) associated with low antioxidant activity has been related to several types of cancer. Selenium, an antioxidant micronutrient, may function as an antimutagenic agent, preventing the malignant transformation of normal cells. A review of the literature was conducted based on a survey of articles published between 2000 and 2009 in the PubMed database; 39 articles that analyzed the relationship between cancer, oxidative stress and selenium supplementation were selected. The protective effect of this mineral is especially associated with its presence in the glutathione peroxidase and thioredoxin reductase, enzymes that are known to protect DNA and other cellular components against oxidative damage caused by ROS. Several studies have shown reduced expression of these enzymes in various types of cancer, especially when associated with low intake of selenium, which may increase the damage. Selenium supplementation appears to reduce the risk of some types of cancer by reducing oxidative stress and DNA damage. However, further studies are needed to clarify the adequate dose of selenium for each situation (sex, geographic location, and type of cancer).