The effects of dietary supplementation of sodium selenite (SS) on the reproductive performance and the concentration of selenium, glutathione peroxidase (GSH-Px), superoxide dismutase (SOD), and malondialdehyde (MDA) were determined, and expression of glutathione peroxidase 4 (GPx4) and bone morphogenic protein 15 (BMP15) was evaluated. Paired pigeons (n = 864) were fed: T1 received no SS, while T2, T3, and T4 received 0.5, 1.0, and 1.5 mg of SS/kg of dry matter (DM), respectively. Treatments were performed in triplicate with 72 pairs in each replicate. The results showed that selenium supplementation significantly affected pigeon reproductive performance. Birds fed 1.0 mg of SS/kg displayed higher egg production (P > 0.05), higher birth rate, and lower dead sperm rate than the control group (P < 0.05). Selenium and biochemical analyses revealed a higher selenium concentration in the 1.5 mg of SS/kg group than in the control group (P < 0.05), while GSH-Px was higher in the 0.5 mg of SS/kg group than in the control group (P < 0.05). Neither the MDA nor the SOD content were affected significantly in liver, chest muscle, or leg muscle (P > 0.05); however, in plasma, MDA was lower in the control group (P < 0.05), while SOD was higher in the control group (P < 0.05). qRT-PCR results revealed up-regulation of GPx4 in hypothalamus, pituitary and testis tissues in supplemented groups (P < 0.05). However, expression in ovary differed; GPx4 mRNA levels were lower in the 1.5 mg of SS/kg and control groups than in the 1.0 or 0.5 mg of SS/kg groups (P < 0.05). Expression of BMP15 in the hypothalamus, pituitary, and testis tissues was unaffected (P > 0.05), while in ovary, BMP15 was down-regulated in the 1.5 mg of SS/kg group (P < 0.05). These results suggest pigeons supplemented with SS up-regulated GPx4, 1.0 mg of SS/kg exhibited superior reproductive performance, while 1.5 mg of SS/kg increased the selenium concentration, and 0.5 mg of SS/kg up-regulated GSH-Px activity.