The purpose of this review is to systematically examine the scientific evidence investigating selenium’s relationship with COVID-19, aiming to support, or refute, the growing hypothesis that supplementation could prevent COVID-19 etiopathogenesis. In fact, immediately after the beginning of the COVID-19 pandemic, several speculative reviews suggested that selenium supplementation in the general population could act as a silver bullet to limit or even prevent the disease. Instead, a deep reading of the scientific reports on selenium and COVID-19 that are available to date supports neither the specific role of selenium in COVID-19 severity, nor the role of its supplementation in the prevention disease onset, nor its etiology.