Casein phosphopeptide (CPP) is a bioactive phosphorylated peptide derived from the hydrolysis of cow’s milk casein, which has superior chelating properties. In this study, CPP was used as a carrier to prepare selenium-chelating CPP (CPP-Se) for use as a novel selenium supplement. The structure of CPP-Se was characterized by spectroscopy and thermodynamics. Molecular docking was used to simulate the binding interaction between Se and CPP and the immunoregulatory and anti-inflammatory activities of CPP-Se were studied in lipopolysaccharide (LPS)-stimulated RAW264.7 macrophage cells. The results showed that the Se content of CPP-Se prepared under peptide/selenium mass ratio of 2:1, 35.48 ℃ and pH 7.0 was 5578.66 μg/g. Ultraviolet (UV) and Fourier transform infrared spectroscopy (FTIR) demonstrated that CPP chelated Se through carbonyl, carboxyl, and phosphate groups. Circular dichroism (CD) spectroscopy indicated that the proportion of β-sheet was higher in CPP-Se than in CPP. Thermogravimetric (TG) analysis indicated that CPP-Se was more stable than CPP. Furthermore, isothermal titration calorimetry (ITC) combined with molecular docking revealed that the chelating site between peptide and selenium was hydrogen bonds in glutamic acid and serine, with a distance of 2.6 Å and a binding energy of –7.53 kJ/mol, mainly driven by hydrophobic interactions. For the same selenium concentration, the safe range of CPP-Se for RAW264.7 macrophages was two times larger than that of sodium selenite, and CPP-Se increased the phagocytic capacity of macrophages by 25%. The inhibitory effect of CPP-Se on the secretion and release of NO, tumor necrosis factor-α (TNF-α) and interleukin-6 (IL-6) in LPS-stimulated RAW264.7 macrophages was more pronounced than that of sodium selenite. In summary, CPP-Se can be used as a new safe selenium supplement. This study provides new ideas for the widespread application of CPP.