Coated sodium selenite (CSS) is a rumen-protected selenium supplement that can improve selenium status and lactation performance in buffalo. This study investigated the effects of CSS supplementation on milk yield, rumen fermentation, digestibility, blood biochemical parameters, and antioxidant capacity in 28 dairy hybrid buffaloes (Murrah × local breed; milk yield = 5.96 ± 0.21 kg/d; parity = 2.96 ± 0.15, mean ± SD). The buffaloes were randomly allocated into four groups: control (basal diet), low CSS (LCSS, basal diet + 0.1 mg/kg CSS), medium CSS (MCSS, basal diet + 0.15 mg/kg CSS), and high CSS (HCSS, basal diet + 0.2 mg/kg CSS). The trial included a 7-day adaptation period followed by a 60-day experimental period. Compared with the control group, the LCSS group showed significant increases in rumen acetic acid, propionic acid, and total volatile fatty acid contents; milk yield, milk fat percentage, and 4% standard milk yield; neutral detergent fiber digestibility; and antioxidant capacity. These results demonstrate that supplementing 0.1 mg/kg CSS improves rumen fermentation efficiency and cellulose digestibility, thereby enhancing the antioxidant capacity and lactation performance of dairy buffaloes.