Selenium is both an essential nutrient and a highly toxic element, depending on its dose and chemical forms. We aimed to quantify urinary selenium excretion and dietary selenium intake in 137 healthy non-smoking blood donors living in the northern Italian province of Reggio Emilia. We assessed selenium status by determining urinary selenium levels (mean 26.77 µg/L), and by estimating dietary selenium intake (mean 84.09 µg/day) using a validated semi-quantitative food frequency questionnaire. Fasting blood levels of glucose, lipids and thyroid-stimulating hormone were measured using automatized laboratory procedures. Dietary and urinary selenium were correlated (beta coefficient (β) = 0.19). Despite this, the association of the two indicators with health endpoints tended to diverge. Using linear regression analysis adjusted for age, sex, body mass index, cotinine levels and alcohol intake, we observed a positive association between urinary selenium and blood triglyceride (β = 0.14), LDL-cholesterol (β = 0.07) and glucose levels (β = 0.08), and an inverse one with HDL-cholesterol (β = −0.12). Concerning dietary selenium, a slightly positive association could be found with glycemic levels only (β = 0.02), while a negative one emerged for other endpoints. The two selenium indicators showed conflicting and statistically highly imprecise associations with circulating TSH levels. Our findings suggest that higher selenium exposure is adversely associated with blood glucose levels and lipid profile. This is the case even at selenium exposures not exceeding tolerable upper intake levels according to current guidelines.