The aim of the present study was to optimize the purification of mycelia selenium polysaccharides (MSPS) from Agrocybe cylindracea SL-02 and characterize their in vitro antioxidant and in vivo anti-ageing activities. The Box-Behnken experimental design (BBD) was evaluated, which showed that the optimum conditions included an extraction temperature of 94.99°C, a pH of 9 and a precipitation temperature of 12°C, and the predicted yield was 11.036 ± 0.31%. The in vitro antioxidant assay demonstrated that MSPS had potential effects on scavenging and enhanced the reducing power of reactive oxygen species. The in vivo anti-ageing evaluation showed that MSPS significantly reduced the malonaldehyde (MDA) contents and total cholesterol (CHOL) levels, and remarkably improved the activities of superoxide dismutase (SOD), glutathione peroxidase (GSH-Px), and total antioxidant capacity (T-AOC) in mice in response to D-galactose-induced ageing. Furthermore, the characteristic analysis of MSPS indicated a selenium content of 1.76 ± 0.10 mg/g at a concentration of 6 μg/mL in liquid media and a monosaccharide composition of rhamnose, arabinose, mannose, glucose and galactose at a molar ratio of 29:3:1:18.8:2.7. These results suggest that MSPS might be suitable for functional foods and natural drugs on preventing the ageing progress induced by toxic chemicals.