In recent decades, colloidal selenium nanoparticles have emerged as exceptional selenium species with reported chemopreventative and therapeutic properties. This has sparked widespread interest in their use as a carrier of therapeutic agents with results displaying synergistic effects of selenium with its therapeutic cargo and improved anticancer activity. Functionalization remains a critical step in selenium nanoparticles' development for application in gene or drug delivery. In this review, we highlight recent developments in the synthesis and functionalization strategies of selenium nanoparticles used in cancer drug and gene delivery systems. We also provide an update of recent preclinical studies utilizing selenium nanoparticles in cancer therapeutics.