Selenium nanoparticles (SeNPs) have attracted attention due to their favorable properties, unique bioactivities, and potential for use in nutritional supplements and nanomedicine applications. However, the application of SeNPs in the clinic has been greatly hindered by their poor stability, and their potential to protect against alcohol-induced oxidative stress has not been fully investigated. Herein, SeNPs were synthesized in the presence of chitosan (CS) or chitooligosaccharide (COS), and a mixture of SeNPs, CS, and COS was spray-dried to prepare selenium-nanoparticles-loaded chitosan/chitooligosaccharide microparticles (SeNPs-CS/COS-Ms). Their physicochemical properties, including morphology, elemental state, size distribution, surface potential, and characteristic structure, were investigated. The release of SeNPs from the vehicle and the free radical scavenging ability of SeNPs-CS/COS-Ms were also studied. Furthermore, the safety of SeNPs-CS/COS-Ms and their antioxidant activity against alcohol were evaluated in mice. The results indicate that SeNPs-CS/COS-Ms, with a novel structure characterized by their smooth or wrinkled surface, hollow core, and COS body filled with SeNPs-CS nanobeads, were able to release SeNPs and scavenge DPPH and superoxide anion radicals. SeNPs-CS/COS-Ms were found to be much safer than selenite, and they might protect mice from ethanol-induced oxidative stress by reducing lipid and protein oxidation and by boosting glutathione peroxidase (GSH-Px), superoxide dismutase (SOD), and catalase (CAT). In conclusion, SeNPs-CS/COS-Ms offer a new way to develop stable SeNPs with higher efficacy and better biosafety, and the antioxidant potential of SeNPs-CS/COS-Ms against ethanol deserves further development.