In this study, egg yolk selenium peptides (Se-EYP) were prepared using double-enzyme hydrolysis combined with a shearing pretreatment. The properties of the selenopeptides formed were then characterized, including their yield, composition, molecular weight distribution, antioxidant activity, in vitro digestion, and immunomodulatory activity. The peptide yield obtained after enzymatic hydrolysis using a combination of alkaline protease and neutral protease was 74.5%, of which 82.6% had a molecular weight <1000 Da. The selenium content of the lyophilized solid product was 4.01 μg/g. Chromatography-mass spectrometry analysis showed that 88.6% of selenium in Se-EYP was in the organic form, of which SeMet accounted for 60.3%, SeCys2 for 21.8%, and MeSeCys for 17.9%. After being exposed to in vitro simulated digestion, Se-EYP still had 65.1% of oligopeptides present, and the in vitro antioxidant activity was enhanced. Moreover, Se-EYP exhibited superior immune detection indices, including immune organ index, level of immune factors in the serum, histopathological changes in the spleen, and selenium content in the liver. Our results suggest that Se-EYP may be used as selenium-enriched ingredients in functional food products.