Dietary selenium (Se) can be supplemented from organic or inorganic sources and this may affect Se metabolism and functional outcome such as antioxidative status and immune functions in dairy cows. A feeding trial was performed with 16 Holstein-Friesian dairy cows fed with a total mixed ration (0.18 mg Se/kg dry matter (DM)) either without Se supplement (Control, n = 5), or with Se from sodium selenite (Group SeS, n = 5) or Se yeast (Group SeY, n = 6). In Groups SeS and SeY, the Se supplementation amounted to an additional intake of 4 mg Se and 6 mg Se/d during gestation and lactation, respectively. The effect of both Se sources was characterised by milk Se and antioxidant levels, and the phenotyping and functional assessment of phagocytic activity of milk immune cells. Se yeast has been found to increase (p ≤ 0.001) the milk Se and antioxidant levels markedly compared to the control group. The experimental treatment did not affect the immune parameters of the cows. Lymphocyte subpopulations and phagocytosis activity of neutrophilic granulocytes were affected neither by the Se intake nor by the two different dietary supplements. It can be concluded that sodium selenite and Se yeast differ considerably in their effects on antioxidant status in dairy cows. However, the basal dietary Se concentration of 0.18 mg/kg DM seemed to be high enough for the measured immune variables.