The soluble polysaccharides from a non-conventional and edible plant purslane (Portulaca oleracea L.), namely PSPO, were prepared by the water extraction and ethanol precipitation methods in this study. The obtained PSPO were selenylated using the Na2SeO3-HNO3 method to successfully prepare two selenylated products, namely SePSPO-1 and SePSPO-2, with different selenylation extents. The assay results confirmed that SePSPO-1 and SePSPO-2 had respective Se contents of 753.8 and 1325.1 mg/kg, while PSPO only contained Se element about 80.6 mg/kg. The results demonstrated that SePSPO-1 and SePSPO-2 had higher immune modulation than PSPO (p < 0.05), when using the two immune cells (murine splenocytes and RAW 264.7 macrophages) as two cell models. Specifically, SePSPO-1 and SePSPO-2 were more active than PSPO in the macrophages, resulting in higher cell proliferation, greater macrophage phagocytosis, and higher secretion of the immune-related three cytokines, including tumor necrosis factor-α (TNF-α), interleukin-6 (IL-6), and IL-1β. Meanwhile, SePSPO-1 and SePSPO-2 were more potent than PSPO in the concanavalin A- or lipopolysaccharide-stimulated splenocytes in cell proliferation, or more able than PSPO in the splenocytes to promote interferon-γ secretion but suppress IL-4 secretion, or more capable of enhancing the ratio of T-helper (CD4+) cells to T-cytotoxic (CD8+) cells for the T lymphocytes than PSPO. Overall, the higher selenylation extent of the selenylated PSPO mostly caused higher immune modulation in the model cells, while a higher polysaccharide dose consistently led to the greater regulation effect. Thus, it is concluded that the employed chemical selenylation could be used in the chemical modification of purslane or other plant polysaccharides, when aiming to endow the polysaccharides with higher immuno-modulatory effect on the two immune cells.