Agronomic biofortification with selenium (Se) effectively reduces hidden hunger and increases the nutritional intake of Se in people and animals. Because sorghum is a staple diet for millions of people and is used in animal feed, it becomes a crop with biofortification potential. Consequently, this study aimed to compare organoselenium compounds with selenate, which is effective in numerous crops, and to assess grain yield, the effect in the antioxidant system, and macronutrient/micronutrient contents of different sorghum genotypes treated with Se, via foliar spray. The trials used a 4 × 8 factorial design, with four Se sources (control—without Se supply, sodium selenate, potassium hydroxy-selenide, acetylselenide) and eight genotypes (BM737, BRS310, Enforcer, K200, Nugrain320, Nugrain420, Nugrain430, and SHS410). The Se rate used was 0.125 mg plant−1. All genotypes reacted effectively to foliar fertilization with Se through sodium selenate. In this experiment, potassium hydroxy-selenide and acetylselenide showed low Se levels and lower Se uptake and absorption efficiency than selenate. Selenium fertilization increased grain yield and altered lipid peroxidation by malondialdehyde content, hydrogen peroxide content, catalase activity, ascorbate peroxidase, superoxide dismutase, and macronutrients and micronutrients content of the studied genotypes. In sum, biofortification with selenium led to an overall yield increase of sorghum plants and supplementation with selenium through sodium selenate was more efficient than organoselenium compounds, yet acetylselenide had a positive effect on the antioxidant system. Sorghum can be effectively biofortified through the foliar application of sodium selenate; however, studying the interaction between organic and inorganic Se compounds in plants is necessary.