Cancer is one of the most challenging health problems in the world. Several clinical treatments have been developed, but all presenting several limitations. Among different types of cancer, bone cancer is less common, and limited new clinical treatment strategies have been proposed. Recently, a range of advanced materials has been investigated and applied for bone cancer treatment applications. However, due to the unique physiological properties of the bone tissue (a load-bearing tissue), the selection of the right type of material or the combination of suitable functional materials and base materials are critical. Selenium has been reported to present specific targeting inhibition effects on bone cancer without affecting the surrounding healthy tissue, revealing a huge potential for the development of new bone cancer treatment strategies. This paper presents a concise review on the use of selenium for bone cancer applications, discussing main synthesis methods, biocompatibility, and cytotoxicity aspects and the combination of selenium with a wide range of ceramics, metals, and polymers. Future perspectives and the novel concept of a dual-functional scaffold for both cancer treatment and new bone regeneration are also discussed.