Selenium nanoparticles (SeNPs) have emerged as promising metal-based nanoparticles for drug delivery due to their unique physicochemical properties, intrinsic bioactivity, and biocompatibility. SeNPs offer a lower toxicity, higher bioavailability, and flexibility to be customized for surface chemistry compared to traditional selenium compounds. Advances in synthetic strategies, including chemical reduction, green biosynthesis, and surface functionalization with polymers, peptides, or ligands, have improved their stability, targeting capability, and circulation time. SeNP-based systems have demonstrated unique anticancer, antimicrobial, and anti-inflammatory activities, as they can function as drug carriers and active therapeutic agents. The surface of SeNPs has been functionalized with ligands such as Arginylglycylaspartic acid (RGD) peptides, hyaluronic acid, or chitosan to enhance their receptor-mediated targeting abilities in tumor tissues. In addition, SeNPs have shown a synergistic effect in the presence of drugs such as doxorubicin and paclitaxel. Even though SeNPs have demonstrated significant potential in pre-clinical investigations, their use in clinical studies has not been expanded due to several limiting challenges, including large-scale production, long-term safety, pharmacokinetic properties, and regulations required for FDA approval. Continued research into optimizing formulation strategies and expanding in vivo validation will be critical to translating SeNP-based drug delivery systems into clinical applications. In this review, we focus on the methods for synthesizing SeNPs, their physicochemical properties, the structure of ligands attached to SeNPs for drug delivery applications, and the specific biological targets of functionalized SeNPs.