Alzheimer’s disease (AD) is the most common neurodegenerative disease associated with cognitive decline, loss of memory, and progressive cerebral atrophy. The trace element selenium (Se) is known to be involved in brain pathology. Selenoprotein P (SELENOP), as the main Se transport protein, is, to a great extent, responsible for maintaining Se homeostasis and the hierarchy of selenoprotein expression in the body. Adequate Se supply through SELENOP is vital for proper brain development and function. Additionally, SELENOP may be implicated in pathological processes in the central nervous system, including those in AD. The current review summarizes recent findings on the possible role of SELENOP in AD, with a focus on probable mechanisms: Se delivery to neurons, antioxidant activity, cytoskeleton assembly, interaction with redox-active metals (e.g., copper and iron), and misfolded proteins (amyloid beta and tau protein). The use of SELENOP as a biomarker of Se status is also briefly discussed. Epidemiological studies on Se supplementation are beyond the scope of the current review.