Edible mushrooms are large fungi with medicinal and dietary values; they are rich in polysaccharides, proteins, vitamins, trace elements, and other nutrients. Among these components, polysaccharides have attracted increasing functional food and pharmaceutical attention owing to their anti-tumor, hypoglycemic, antioxidant, immunomodulatory, and other bioactive properties. Selenium-polysaccharide (SePs) complexes, formed by combining Se with polysaccharides, retain the original structure and functional properties of polysaccharides and further enhance their bioactivities via the introduction of Se, thereby offering broad application prospects. The isolation and purification methods, structural characteristics, and bioactivities of SePs from edible mushrooms were systematically reviewed in this paper. Additionally, the potential applications of edible mushroom-derived SePs in functional foods were examined; prospects for future research directions were outlined by identifying current research gaps. These findings provide a theoretical basis for understanding the structure-activity relationship and bioactivity mechanism of SePs in edible mushrooms and provide novel perspectives for the development of Se-enriched functional products.