The chemistry of selenium (Se) compounds is not a young field, since its beginning was in the first half of the 19th century. The first steps in this scope were initiated in 1836 by the then toxicologists, who discovered a Se metabolite, diethyl selenide, excreted by inhalation during research using inorganic selenium compounds on animals. Meanwhile, the first synthesis of selenium-containing (Se-containing) compounds took place in 1847, when ethylselenol was obtained. Since then, selenium chemistry has developed greatly and investigators have started to look at whether it can help with society’s health problems, including cancer. The high number of new cancer incidences and the associated mortality continue to be alarming, leading to the search for new therapies that would be more effective and less burdensome for patients. As there is evidence that Se compounds can have chemopreventive activity, studies have begun to establish whether these compounds can also affect already existing cancers. This review aims to discuss the different classes of Se-containing compounds, both organic and inorganic, natural and synthetic, and the mechanisms and molecular targets of their anticancer activity.