Selenium exists in the form of selenocysteines in selenoproteins and plays a pivotal role in the catalytic process of the antioxidative enzymes. In order to study the structural and functional properties of selenium in selenoproteins, explore the significance of the role of selenium in the fields of biology and chemistry, scientists conducted a series of artificial simulations on selenoproteins. In this review, we sum up the progress and developed strategies in the construction of artificial selenoenzyme. Using different mechanisms from different catalytic angles, selenium-containing catalytic antibodies, semi-synthetic selenonezyme, and the selenium-containing molecularly imprinted enzymes have been constructed. A variety of synthetic selenoenzyme models have been designed and constructed by selecting host molecules such as cyclodextrins, dendrimers, and hyperbranched polymers as the main scaffolds. Then, a variety of selenoprotein assemblies as well as cascade antioxidant nanoenzymes were built by using electrostatic interaction, metal coordination, and host–guest interaction. The unique redox properties of selenoenzyme glutathione peroxidase (GPx) can be reproduced.