Soil salinity is a critical abiotic stress that poses threat to global agricultural production. Salinity induces osmotic and ionic stresses, which negatively affect the growth and development of plants. Exogenous applications of trace elements have demonstrated their possible role in overcoming the adverse effects of salt stress in plants. Selenium (Se) is one such candidate with tremendous potential of salt stresses alleviation in plants. In this context, the present study was conducted to evaluate the role of exogenous Se in mitigating salt stress in proso millet. Proso millet plants were subjected to salinity stress (150 mM NaCl) and three concentrations of Se (1 µM, 5 µM and 10 µM) as sodium selenite (Na2SeO3) was applied for mitigation in three increments within 2 weeks. Se (1 µM) improved the fresh weight by 44.14%, biomass accumulation by 46.78%, shoot length by 95.42%, and root length by 19.45%, of proso millet plants under 150 mM NaCl stress. Se enhanced the activity of antioxidant enzymes like superoxide dismutase, catalase, ascorbate peroxidase, guaiacol peroxidases, glutathione-S-transferases and glutathione reductase by 24.37%, 28.59%, 18.99%, 45.46%, 24.5% and 11.37%, respectively. It also improved levels of osmolytes like proline, glycine betaine and total soluble sugar by 37.98%, 17.33% and 22.31% respectively and decreased H2O2 content by 20.68%. Se treatment increased the expression of SOS1, SOS2, SOS3, HKT and NHX transporters by 3.1, 6.1, 3.4, 3.1 and 2.8-fold respectively. In conclusion, Se in low doses improved the plant’s defense mechanisms by boosting the antioxidant machinery and regulating Na+ transporters, thereby mitigated the adverse effects of salinity stress.