Breast cancer is a major malignancy among women, characterized by a high mortality rate. The available literature evidence indicates that selenium, as a trace element, has chemopreventive properties against many types of cancer; as such, compounds containing it in their structure may potentially exhibit anticancer activity. Accordingly, we have undertaken a study to evaluate the effects of novel selenoesters (EDAG-1, -7, -8, -10) on MCF-7 and MDA-MB-231 breast cancer cells. Our analysis included investigations of cell proliferation and viability as well as cytometric determinations of apoptosis/autophagy induction, changes in mitochondrial membrane polarity (ΔΨm), caspase 3/7, 8, and 9 activities, and Bax, Bcl-2, p53, Akt, AMPK, and LC3A/B proteins. The obtained data revealed that the tested derivatives are highly cytotoxic and inhibit cell proliferation even at nanomolar doses (0.41–0.79 µM). Importantly, their strong proapoptotic properties (↑ caspase 3/7) are attributable to the effects on both the extrinsic (↑ caspase 8) and intrinsic (↓ ΔΨm and Bcl-2, ↑ Bax, p53, and caspase 9) pathways of apoptosis. Moreover, the tested compounds are autophagy activators (↓ Akt, ↑ autophagosomes and autolysosomes, AMPK, LC3A/B). In summary, the potent anticancer activity suggests that the tested compounds may be promising drug candidates for future breast cancer therapy.