Salinity stress is continuously declining crop production throughout the world. Various strategies are in use to mitigate its effect on crop plants. The current study was performed to resolve the effects of exogenous selenium (Se) (1 μM) on the two millet varieties viz., Panicum miliaceum L. (proso millet: PM) and Setaria italica L. (foxtail millet: FM), which were subjected to salt stress (NaCl) of varying amounts. The salt treatments (50–200 mM NaCl) decreased the tolerance index (TI) of both shoots and roots and the Se application reversed the effect. The PM shoots and FM roots showed better tolerance index ranging up to 95.42% and 101%, respectively. The salt treatments decreased the biomass, relative water content (RWC) and photosynthetic pigments (PP) in a dose-dependent manner with respect to control. The Se application showed a maximum improvement in biomass (49.09% and 293.28%), RWC (14.49% and 20.42%) and PP (228.86% and 507.22%) in PM and FM, respectively, in comparison to highest salt treatment (200 mM). The salt treatments increased the membrane damage as evidenced by electrolyte leakage (EL) and thiobarbituric acid reactive species (TBARS). However, Se application showed improvement in EL (15.62% and 49.18%) and TBARS (42.34% and 34.20%) in PM and FM, respectively, in comparison to salt treatments. When comparing the two varieties for the parameters it was found that FM performed better than PM. The Se-mediated resistance of millets (PM, FM) toward salinity makes them a model for studying stress responses at different stages of growth and development. This would help screen the resistant varieties and in future, these could be utilized for cultivation on marginal lands for sustainable growth and yield. Thus, overall the application of Se in low doses offers promising potential for use in high salinity conditions.