Poly (ε-caprolactone) (PCL) microspheres as a carrier for sustained release of antibacterial agent, selenium nanoparticles (SeNPs), were developed. The obtained PCL/SeNPs microspheres were in the range 1–4 μm with the encapsulation efficiency of about 90%. The degradation process and release behavior of SeNPs from PCL microspheres were investigated in five different degradation media: phosphate buffer solution (PBS), a solution of lipase isolated from the porcine pancreas in PBS, 0.1 M hydrochloric acid (HCl), Pseudomonas aeruginosa PAO1 cell-free extract in PBS and implant fluid (exudate) from the subcutaneously implanted sterile polyvinyl sponges which induce a foreign-body inflammatory reaction. The samples were thoroughly characterized by SEM, TEM, FTIR, XRD, PSA, DSC, confocal microscopy, and ICP-OES techniques. Under physiological conditions at neutral pH, a very slow release of SeNPs occurred (3 and 8% in the case of PBS or PBS + lipase, respectively and after 660 days), while in the acidic environment their presence was not detected. On the other hand, the release in the medium with bacterial extract was much more pronounced, even after 24 h (13%). After 7 days, the concentration of SeNPs reached a maximum of around 30%. Also, 37% of SeNPs have been released after 11 days of incubation of PCL/SeNPs in the implant exudate. These results suggest that the release of SeNPs from PCL was triggered by Pseudomonas aeruginosa PAO1 bacterium as well as by foreign body inflammatory reaction to implant. Furthermore, PCL/SeNPs microspheres were investigated in terms of their biocompatibility. For this purpose, cytotoxicity, the formation of reactive oxygen species (ROS), and genotoxicity were evaluated on HepG2 cell line. The interaction of PCL/SeNPs with phagocytic cell line (Raw 264.7 macrophages) was monitored as well. It was found that the microspheres in investigated concentration range had no acute cytotoxic effects. Finally, SeNPs, as well as PCL/SeNPs, showed a considerable antibacterial activity against Gram-positive bacteria: Staphylococcus aureus (ATCC 25923) and Staphylococcus epidermidis (ATCC 1228). These results suggest that PCL/SeNPs-based system could be an attractive platform for a prolonged prevention of infections accompanying implants.