Grifola frondosa polysaccharide (GFP2) was extracted and purified by anion‐exchange chromatography. A selenized G. frondosa polysaccharide, SeGFP2, was modified in selenylation by nitric acid–sodium selenite (HNO3‐Na2SeO3) method. Structural features were investigated, and the lymphocyte proliferation and antioxidant activities were compared taking GFP2 as control. SeGFP2 with a molecular weight of 2.12 × 104 Da was composed of mannose, glucose, and galactose with a ratio of 3.5:11.8:1.0. A typical absorption of selenium ester was observed in SeGFP2 molecule. SeGFP2 was proposed as a branched polysaccharide, which consisted of 1,3‐D‐Glcp, 1,6‐D‐Glcp, 1,4,6‐D‐Galp, and 1,3,6‐D‐Manp. SeGFP2 showed a linear filamentous structure with some branches. SeGFP2 could significantly promote T‐ or B‐lymphocyte proliferation and the enhancement was higher than GFP2. The in vitro antioxidant activities of SeGFP2 were more potent than GFP2. These present data suggested that selenylation could significantly improve the lymphocyte proliferation and in vitro antioxidant activities of GFP2.