Selenium (Se), regarded as an antioxidant, has been found beneficial for plants growing under stressed conditions. To investigate whether the Se application helps to improve stress tolerance, sodium selenite (Na2SeO3 · 5H2O, 5–15 μM) was hydroponically applied to Zea mays variety OSSK-713-roots under heat and/or PEG-induced osmotic stress (25% PEG-6000) for 8 h. The individual/combined stress caused accumulation of reactive oxygen species (ROS). While only superoxide dismutase (SOD) increased with heat stress alone, the activities of SOD, catalase (CAT) and ascorbate peroxidase (APX) increased under PEG exposure. The combination of these stresses resulted in an induction of both SOD and CAT activities. Lipid peroxidation (TBARS) levels were also high in all the stress treatments, especially under the combination treatment. Addition of Se not only improved the activities of SOD, APX and glutathione reductase (GR) in stress-treated roots, but it also changed the activities of monodehydroascorbate reductase (MDHAR) and dehydroascorbate reductase (DHAR). The findings reveal that Se has a positive effect on heat and/or osmotic stress mitigation mainly by regulating the ascorbate-glutathione cycle, especially in PEG-treated plants. Under the combined stress treatment, addition of 5 µM of exogenous Se was most effective.