Sodium selenite was added to basal diet at five levels (0.10, 0.42, 0.67, 1.06 and 1.46 mg Se/kg) and fed fish for 8 weeks. The dietary selenium requirement of juvenile blunt snout bream (Megalobrama amblycephala) was quantified. Dietaryseleniums at 0.67–1.06 mg Se/kg improved weight gain rate, specific growth rate and feed efficiency. The optimal amount was 0.96 mg/kg, for which the specific growth rate was 1.798%/day and the weight gain rate was 173.852% (p < 0.05). Se deposition in muscle was increased (p < 0.05) at ≥0.67 mg/kg, but moisture, protein, lipid and ash content were not affected. Physiological status and lipid metabolism were improved by 1.06–1.46 mg/kg dietary selenium based on total protein and albumin in plasma, and total cholesterol and triglycerides (p < 0.05). Activities of hepatic anti-oxidant enzymes catalase, total superoxide dismutase, glutathione peroxidase and reduced glutathione were enhanced at Se1.06 (p < 0.05). However, malondialdehyde content was lowered at Se1.06 (p < 0.05). Expression of anti-inflammatory cytokines, nuclear factor erythroid 2-related factor 2 (Nrf2) and kelch-like ECH-associated protein 1 (Keap-1) in liver were elevated at Se1.06 (p < 0.05), as were mRNA levels of glutathione peroxidase, copper zinc superoxide dismutase and catalase. Expression of pro-inflammatory cytokines, interleukin 8, tumour necrosis factor-α and transforming growth factor-β were inhibited at 0.67–1.46 mg/kg (p < 0.05). In general, 0.96 mg/kg was optimal, and optimal selenium enhanced antioxidant stress tolerance and anti-inflammatory ability.