The invention discloses selenium peptide nanometer self-emulsifying powder, and a preparation method and application thereof. In a typical implementation scheme, the preparation method comprises the following steps that endogenic soy isolate protein is used as a hydrophilic and lipophilic nonionic surfactant; medium chain triglyceride with small irritation is used as an oil phase of a self-emulsifying system; selenium and polysaccharide is combined with polypeptide through maillard reaction to be used as biological active ingredients; freeze drying is performed after the milk formation; the selenium peptide nanometer self-emulsifying powder is prepared. The selenium peptide nanometer self-emulsifying powder provided by the invention has the excellent biocompatibility and bioavailability; the secondary solubility is good; the storage and the eating are convenient; the preparation process is simple; the quality is stable; the selenium peptide nanometer self-emulsifying powder is suitable for mass production.