Selenium is capable of forming a dynamic covalent bond with itself and other elements and can undergo metathesis and regeneration reactions under optimum conditions. Its dynamic nature endows selenium-containing polymers with striking sensitivity towards some environmental alterations. In the past decade, several selenium-containing polymers were synthesized and used for the preparation of oxidation-, reduction-, and radiation-responsive nanocarriers. Recently, thioredoxin reductase, sonication, and osmotic pressure triggered the cleavage of Se-Se bonds and swelling or disassembly of nanostructures. Moreover, some selenium-containing nanocarriers form oxidation products such as seleninic acids and acrylates with inherent anticancer activities. Thus, selenium-containing polymers hold promise for the fabrication of ultrasensitive and multifunctional nanocarriers of radiotherapeutic, chemotherapeutic, and immunotherapeutic significance. Herein, we discuss the most recent developments in selenium-containing polymeric micelles in light of their architecture, multiple stimuli-responsive properties, emerging immunomodulatory activities, and future perspectives in the delivery and controlled release of anticancer agents.