Modifying the surface of nanomaterials, such as carbon nanotubes, by introducing heteroatoms or larger functional groups into the structure causes a change in chemical properties—manifested in the increase in reactivity as well as a change in conductivity. This paper presents the new selenium derivatives obtained by a covalent functionalization of brominated multi-walled carbon nanotubes (MWCNTs). The synthesis was carried out in mild conditions (3 days at room temperature), and was additionally assisted with ultrasound. After a two-stage purification, the obtained products were identified and characterized by the following methods: scanning and transmission electron microscopy imaging (SEM and TEM), energy dispersive X-ray microanalysis (EDX), X-ray photoelectron spectroscopy (XPS), Raman and nuclear magnetic resonance (NMR), and X-ray diffraction (XRD). In the selenium derivatives of carbon nanotubes, the content of selenium and phosphorus reached 14 and 4.2 wt%, respectively.