Selenium was suggested to play a role in modulating cognitive performance and dementia risk. Thus, this study aimed to investigate the association between selenium status and cognitive performance, as well as inflammatory and neurotrophic markers in healthy older adults. This cross-sectional study included 154 older adults (≥60 years) from Victoria, Australia. Participants were assessed for cognitive performance (Cogstate battery), dietary selenium intake (two 24-h food recalls), plasma selenium concentration, inflammatory markers (interleukin (IL)-6, -8, -10, tumor necrosis factor-alpha and adiponectin) and neurotrophic factors (brain-derived neurotrophic factor, vascular endothelial growth factor and insulin-like growth factor 1). Dietary selenium intake was adequate for 85% of all participants. The prevalence of selenium deficiency was low; only 8.4% did not have the minimum concentration in plasma required for optimization of iodothyronine 5′ deiodinases activity. Multiple linear regression analysis revealed that plasma selenium was not associated with cognitive performance, inflammatory markers nor neurotrophic factors, independent of age, sex, body mass index (BMI), habitual physical activity, APOE status, education, and history of cardiovascular disease. The lack of association might be due to the optimization of selenoproteins synthesis as a result of adequate selenium intake. Future prospective studies are recommended to explore potential associations of selenium status with age-associated cognitive decline.