Inorganic selenium and oxo-sulfur compounds are widely available in dietary supplements and have been extensively studied for their antioxidant and anticancer properties. Although many in vivo and clinical trials have been conducted using these compounds, their biochemical and chemical mechanisms of efficacy are the focus of much current research. This review discusses the ability of inorganic selenium compounds, such as selenite, and selenate, to prevent damage from reactive oxygen species as well as their ability to promote cell death by reactive oxygen species generation. Oxo-sulfur and selenium compounds, such as allicin, dimethyl sulfone, methionine sulfoxide, and methylselenenic acid also have similar abilities to act as both antioxidants and pro-oxidants, but the mechanisms for these behaviors are distinctly different from those of the inorganic selenium compounds. The antioxidant and pro-oxidant properties of these small-molecule sulfur and selenium compounds are extremely complex and often greatly depend on experimental conditions, which may explain contradictory literature reports of their efficacy.