Selenium (Se), a microelement essential for life, is critical for homeostasis of several critical functions, such as those related to immune–endocrine function and signaling transduction pathways. In particular, Se is critical for the function of the thyroid, and it is particularly abundant in this gland. Unfortunately, Se deficiency is a very common condition worldwide. Supplementation is possible, but as Se has a narrow safety level, toxic levels are close to those normally required for a correct need. Thus, whether the obtaining of optimal selenium concentration is desirable, the risk of dangerous concentrations must be equally excluded. This review addressed the contribution by environment and food intake on Se circulating levels (e.g., geographical factors, such as soil concentration and climate, and different quantities in food, such as nuts, cereals, eggs, meat and fish) and effects related to its deficiency or excess, together with the role of selenium and selenoproteins in the thyroid pathophysiology (e.g., Hashimoto’s thyroiditis and Graves’ disease).