Selenium (Se) and its organic and inorganic compounds in dietary supplements have been found to possess excellent pharmacodynamics and biological responses. However, Se in bulk form generally exhibits low bioavailability and high toxicity. To address these concerns, nanoscale selenium (SeNPs) with different forms, such as nanowires, nanorods, and nanotubes, have been synthesized, which have become increasingly popular in biomedical applications owing to their high bioavailability and bioactivity, and are widely used in oxidative stress-induced cancers, diabetes, and other diseases. However, pure SeNPs still encounter problems when applied in disease therapy because of their poor stability. The surface functionalization strategy has become increasingly popular as it sheds light to overcome these limitations in biomedical applications and further improve the biological activity of SeNPs. This review summarizes synthesis methods and surface functionalization strategies employed for the preparation of SeNPs and highlights their applications in treating brain diseases.