Dietary selenium is of fundamental importance to maintain optimal immune function and enhance immunity during infection. To this end, we examined the effect of selenium on macrophage bactericidal activities against Staphylococcus aureus. Assays were performed in golden Syrian hamsters and peritoneal macrophages cultured with S. aureus and different concentrations of selenium. Infected and selenium-supplemented animals have significantly decreased levels of serum nitric oxide (NO) production when compared with infected but non-selenium-supplemented animals at day 7 post-infection (p < 0.05). A low dose of 5 ng/mL selenium induced a significant decrease in macrophage NO production, but significant increase in hydrogen peroxide (H2O2) levels (respectively, p = 0.009, p < 0.001). The NO production and H2O2 levels were significantly increased with increasing concentrations of selenium; the optimal macrophage activity levels were reached at 20 ng/mL. The concentration of 5 ng/mL of selenium induced a significant decrease in the bacterial arginase activity but a significant increase in the macrophage arginase activity. The dose of 20 ng/mL selenium induced a significant decrease of bacterial growth (p < 0.0001) and a significant increase in macrophage phagocytic activity, NO production/arginase balance and S. aureus killing (for all comparisons, p < 0.001). Selenium acts in a dose-dependent manner on macrophage activation, phagocytosis and bacterial killing suggesting that inadequate doses may cause a loss of macrophage bactericidal activities and that selenium supplementation could enhance the in vivo control of immune response to S. aureus.