Selenium (Se) is an essential element for human health as it is involved in different physiological functions. Moreover, a great number of Se compounds can be considered potential agents in the prevention and treatment of some diseases. It is widely recognized that Se activity is related to multiple factors, such as its chemical form, dose, and its metabolism. The understanding of its complex biochemistry is necessary as it has been demonstrated that the metabolites of the Se molecules used to be the ones that exert the biological activity. Therefore, the aim of this review is to summarize the recent information about its most remarkable metabolites of acknowledged biological effects: hydrogen selenide (HSe−/H2Se) and methylselenol (CH3SeH). In addition, special attention is paid to the main seleno-containing precursors of these derivatives and their role in different pathologies.