In this study, Hericium erinaceus polysaccharide (HEPS, with a purity of more than 92%) was modified using a redox system consisting of Na₂SeO₃ and ascorbic acid (VC) to obtain selenized HEPS (HEPS-Se). The structural and physiochemical properties of HEPS-Se were investigated by atomic absorption spectrometry (AAS), Fourier transform infrared (FTIR) spectroscopy, X-ray diffractometry (XRD), scanning electron microscopy (SEM), energy-dispersive X-ray (EDX) spectroscopy, X-ray photoelectron spectroscopy (XPS), and nano-zetasizer analysis. The anti-proliferation activity of HEPS-Se on A549 human lung cancer cells and DU145 human prostate cancer cells was evaluated. Results showed that HEPS-Se had a regular spherical shape and four elements C, O, Se and Pt at a ratio of 32.92:24.74:30.46:11.87 were determined in HEPS-Se. Its selenium content was 481.79 μg/g. FTIR analysis showed that HEPS could bind to selenium nanoparticles mainly through –OH and –C=O groups. Compared with HEPS, the particle size of HEPS-Se decreased significantly and the absolute potential increased by 69.12%. Meanwhile, HEPS-Se exhibited significantly anti-proliferative effects on DU145 cells and A549 cells in a dose-dependent manner. This study provides a theoretical basis for the development of organic selenium supplements.