Suboptimal intakes of the micronutrient selenium (Se) are found in many parts of Europe. Low Se status may contribute to colorectal cancer (CRC) development. We assessed Se status by measuring serum levels of Se and Selenoprotein P (SePP) and examined the association with CRC risk in a nested case-control design (966 CRC cases; 966 matched controls) within the European Prospective Investigation into Cancer and Nutrition. Se was measured by total reflection X-ray fluorescence and SePP by immunoluminometric sandwich assay. Multivariable incidence rate ratios (IRRs) and 95% confidence intervals (CIs) were calculated using conditional logistic regression. Respective mean Se and SePP levels were 84.0 μg/L and 4.3 mg/L in cases and 85.6 μg/L and 4.4 mg/L in controls. Higher Se concentrations were associated with a non-significant lower CRC risk (IRR = 0.92, 95% CI: 0.82-1.03 per 25 μg/L increase). However, sub-group analyses by sex showed a statistically significant association for women (p(trend) = 0.032; per 25 μg/L Se increase, IRR = 0.83, 95% CI: 0.70-0.97) but not for men. Higher SePP concentrations were inversely associated with CRC risk (p(trend) = 0.009; per 0.806 mg/L increase, IRR = 0.89, 95% CI: 0.82-0.98) with the association more apparent in women (p(trend) = 0.004; IRR = 0.82, 95% CI: 0.72-0.94 per 0.806 mg/L increase) than men (p(trend) = 0.485; IRR = 0.98, 95% CI: 0.86-1.12 per 0.806 mg/L increase). The findings indicate that Se status is suboptimal in many Europeans and suggest an inverse association between CRC risk and higher serum Se status, which is more evident in women.