Selenium (Se) deficiency in human and animal nutrition is primarily due to low levels of Se in soils. It can be prevented by enriching crops, such as wheat, with Se through agronomic biofortification. Although Se is not essential for plants, it shows a dual effect on their metabolism depending on its concentration. This study aimed to elucidate the impact of five different concentrations (0.4, 4, 20, 40, and 400 mg/kg) of selenate and selenite on the oxidative status and antioxidative response of wheat (Triticum aestivum L., cv. Kraljica) shoots and roots. According to morpho-physiological analyses, selenite was found to have a lower toxicity threshold than selenate. The measurement of oxidative stress biomarkers showed that Se did not cause oxidative damage to wheat seedlings due to the activation of detoxification mechanisms at the biochemical level, which depended on the type of tissue, concentration, and form of applied Se. Treatment with 20 mg/kg of selenate can be recommended for wheat seedling biofortification due to a sufficient increase in Se accumulation in shoots without signs of toxicity. These results contribute to a better understanding of wheat seedlings’ physiological and biochemical responses to Se and the development of more effective biofortification strategies.