The present study aims to develop a novel nanocombination with high selectivity against several invasive cancer cells, sparing normal cells and tissues. Bovine lactoferrin (bLF) has recently captured the interest of numerous medical fields owing to its biological activities and well-known immunomodulatory effects. BLF is an ideal protein to be encapsulated or adsorbed into selenium nanocomposites (Se NPs) in order to produce stable nanocombinations with potent anticancer effects and improved immunological functions. The biosynthesis of the functionalized Se NPs was achieved usingRhodotorula sp. strain MZ312359 via a simultaneous bio-reduction approach to selenium sodium salts. The physicochemical properties of Se NPs using SEM, TEM, FTIR, UV Vis, XRD, and EDX confirmed the formation of uniform agglomerated spheres with a size of 18–40 nm. Se NPs were successfully embedded in apo-LF (ALF), forming a novel nanocombination of ALF-Se NPs with a spherical shape and an average nanosize of less than 200 nm. The developed ALF-Se NPs significantly displayed an effective anti-proliferation efficiency against many cancer cells, including MCF-7, HepG-2, and Caco-2 cell lines, as compared to Se NPs and ALF in free forms. ALF-Se NPs showed a significant selectivity impact (> 64) against all treated cancer cells at IC5063.10 ≤ μg/mL, as well as the strongest upregulation of p53 and suppression of Bcl-2, MMP-9, and VEGF genes. Besides, ALF-Se NPs were able to show the maximum activation of transcrition of key redox mediator (Nrf2) with suppression in reactive oxygen species (ROS) levels inside all treated cancer cells. This study demonstrates that this novel nanocombination of ALF-Se NPs has superior selectivity and apoptosis-mediating anticancer activity over free ALF or individual form of Se NPs.