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. The chemical classes discussed in this paper include inorganic (selenite, selenate) and organic compounds, such as diselenides, selenides, selenoesters, methylseleninic acid, 1,2-benzisoselenazole-3[2H]-one and selenophene-based derivatives, as well as selenoamino acids and Selol.