Unicellular microalga Chlorella pyrenoidosa is an excellent source of protein, but its ability to produce functional proteins has received less attention. In this study, a strategy to enhance the levels of functional proteins and biomass, by adding sodium selenite under heterotrophic cultivation, is reported for C. pyrenoidosa 038F. Activities of catalase, superoxide dismutase, and glutathione peroxidase were significantly enhanced by 1.94-, 1.90- and 32.73-fold, respectively, in C. pyrenoidosa 038F exposed to 20 mg/L of sodium selenite. Further, western blot analysis confirmed that sodium selenite promoted the synthesis of glutathione peroxidase, which might be due to the up-regulation of peroxisome and selenocysteine-synthesis-related genes. Sodium selenite also increased biomass, the content of protein and soluble sugar by 1.32-, 1.29-, 1.46-fold, respectively. Subsequent transcriptomic analysis confirmed that cellular respiration and the gluconeogenesis pathway were enhanced. This study highlights the potential use of heterotrophic C. pyrenoidosa 038F as a novel selenoprotein-rich carrier while simultaneously producing soluble sugar and biomass. These results might be helpful for increasing economic production of C. pyrenoidosa under heterotrophic cultivation.