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Selenium pollution in water is a worldwide issue. Se(IV) and Se(VI) are mainly found in contaminated water due to their high solubility and mobility; their presence poses a serious risk as they can severely harm human health. Although iron oxide and hydroxide nanoparticles can be efficient candidates for the removal of selenium oxyanions due to their high adsorption capacity, the role of each iron species has not been fully elucidated. Furthermore, iron species are often found to be less effective for Se(VI) than Se(IV). The challenge and novelty of this study was to develop a carbon material impregnated with different iron phases, including oxides (magnetite/hematite) and hydroxides (goethite/lepidocrocite) capable of removing both Se(IV) and Se(VI). Since the phase and morphology of the iron nanoparticles play a significant role in Se adsorption, the study evaluated both characteristics by modifying the impregnation method, which is based on an oxidative hydrolysis with FeSO4 7H2O and CH3COONa, and the type of carbonaceous support (activated carbon or sucrose-based carbon foam). Impregnated activated carbons provide better removal efficiencies (70–80%) than carbon foams (<40%), due to their high surface areas and point zero charges. These results show that the adsorption of Se(VI) is more favorable on magnetic oxides (78%) and hydroxides (71%) than in hematite (<40%). In addition, the activated carbon decorated with magnetite showed a high adsorption capacity for both selenium species, even in alkaline conditions, when the sorbent surface is negatively charged. A mechanism based on the adsorption of inner-sphere complexes was suggested for Se(IV) immobilization, whereas Se(VI) removal occurred through the formation of outer-sphere complexes and redox processes.