Conflicting data link nonalcoholic fatty liver disease (NAFLD), a disease with no currently approved treatment, with selenium (Se) and selenoprotein P (SELENOP), a glycoprotein synthesized and primarily secreted by the hepatocytes, functioning as a Se transporter from the liver to other tissues. This review aims to summarize the evidence between Se, SELENOP, and NAFLD, which may hopefully clarify whether current data on Se and SELENOP in NAFLD warrant further investigation for their diagnostic and therapeutic potential. Most, albeit not all, experimental data show a favorable effect of Se on hepatic steatosis, inflammation, and fibrosis. It seems that Se may exert an antioxidant effect on the liver, at least partly via increasing the activity of glutathione peroxidase, whose depletion contributes to the pathogenesis of hepatic inflammation and fibrosis. Se may also affect metalloproteinases, cytokines, and growth factors participating in the pathogenesis of NAFLD and, most importantly, may induce the apoptosis of hepatic stellate cells, the key players in hepatic fibrosis. However, the association between Se or SELENOP and insulin resistance, which is a principal pathogenetic factor of NAFLD, remains inconclusive. Clinical studies on Se or SELENOP in NAFLD are conflicting, apart from those in advanced liver disease (cirrhosis or hepatocellular carcinoma), in which lower circulating Se and SELENOP are constant findings. Existing data warrant further mechanistic studies in valid animal models of human NAFLD. Prospective cohort studies and possibly randomized controlled trials are also needed to elucidate the diagnostic and therapeutic potential of Se supplementation in selected NAFLD individuals with Se deficiency.