Organic forms of selenium (Se) are drawing more attention in the field of functional food. Se-enriched yeast is one of the best known approaches to supply these compounds in the form of selenomethionine. Saccharomyces cerevisiae UFMG A-905 is of particular interest as a nutritional supplement and pharmaceutical since it can both fix Se and has been found to have potential for use as a probiotic. The aim of this study was to evaluate the effects of sodium selenite on this strain. A comparative proteomic approach was employed, highlighting the differences in the expression of 13 proteins in a pure YPD medium control and a sample containing 100 mg/L sodium selenite. Both proteomic and phenotypic analyses revealed that oxidative stress was caused. The analyses also revealed the ability of S. cerevisiae to set up strategies to counteract this phenomenon. In addition, the up-regulation of a cystathionine gamma-lyase confirms the ability of the strain to produce organic forms of Se that are usually more bioavailable for humans.