Warning: I am not a vet, and you should do your own research and consult your own vet on this topic - selenium has a very narrow range of safety and in supplementation it's definitely not a case of more is better. (Perhaps this is a good rule to follow with all supplements.)
Selenium is a trace mineral which is very important to the horse. Here's a good article from Kentucky Equine Research that explains what selenium does in the body and its importance in the horse's diet. Selenium helps to reduce oxidative stress, and it is possibly that low selenium contributes to low thyroid hormone levels. Lack of adequate selenium, as well as low vitimin E, is implicated in tying up, and also in poor immune system functioning.
As the article points out, there are many areas of the US where soils are very low in selenium, leading to grass and hay that is also very low in selenium. Here's a map of soils in US, showing areas that are selenium-deficient or, in cases of high selenium, where plants may concentrate toxic levels of selenium:
Note: there are many different versions of this map - the only way to know with certainty is to have soil tests or test forage (hay/grass) for selenium levels.
As you can see, where we live - Northern Illinois - is in a low-selenium area, which means that my horses would not get adequate selenium from grass and hay grown in this part of the country. The range from adequate through optimal to toxic levels of selenium in the horse's diet is fairly narrow. The National Research Council has established a recommended level of 0.1 mg/kg of feed in a horse's total diet. (Here is a link to the NRC site on equine nutrition.) For a 1,000 pound horse eating 10 kg/day (approximately 22 pounds) of forage and grain, this works out to approximately 1 mg selenium/day from all sources. Due to the toxicity of excess selenium, this amount is set deliberately low. For many horses this isn't adequate - selenium is a crucial metabolic component. Many horses in low-selenium areas of the country don't get even the minimum, as we'll see, and horses who eat only hay or pasture, with no supplemental feed or supplements, may be particularly deficient. But selenium supplementation is very tricky as it's extremely important to avoid an overdose - those poor polo ponies in Florida several years ago died of selenium poisoning from an incorrectly prepared custom supplement.
Most authorities recommend that a horse (1,000 pounds) who is inactive or in light work get 1 to 3 mg/day of selenium. Since selenium (as well as vitimin E) plays an important metabolic role in helping the horse deal with the oxidative stress of exercise, horses in heavier work should receive 2.5 to 3.5 mg/day in their diet. Free choice minerals are an option, but horses eat these supplements for the salt in them, and if they are getting adequate salt they will not eat the minerals even if they're deficient in selenium.
My horses get some Purina Ultium, a lower carb, higher fat feed, in addition to their hay (and grass in the summer). Ultium contains 0.5 ppm of selenium (this is equivalent to 0.5 mg/kg of feed). This means that Red and Pie (who get one-half pound of Ultium a day) are getting about 0.11 mg per day of selenium from their grain, and Dawn (who gets two pounds a day) is getting about 0.44 mg per day. Since our hays are very low in selenium - the hay from my old barn tested at 0.027 ppm (or 0.027 mg/kg of hay) - hay and grass from this part of the country are contributing very little selenium to their diets. My horses get additional selenium from a custom magnesium/chromium/selenium/vitamin E supplement, and a small amount of selenium from a half-cup per day of Omega Horseshine (stabalized flax seed). The totals they get per day are: Dawn - 4.51 mg/day; Red - 2.22 mg/day; and Pie - 4.23 mg/day. If Red comes back into full work, he will get more Ultium, which will bring his total up a bit.
In tests of whole blood, levels of 0.17-0.25 ppm are considered desirable. My three horses were recently tested at .23, .22 and .25 ppm, and my vet wants to see selenium at this level for optimal health. Values over 1.0 ppm in whole blood are too high and may be a sign of toxicity. The main reason I tested their blood selenium levels is that my horses are at a large barn that gets frequent deliveries of hay from many sources, and due to the drought some of these hay sources may be from higher selenium areas.
Since selenium has a very narrow range of safety, supplementation should be undertaken with great caution - 10 mg/day can be toxic. If you think your horse may be selenium deficient, a blood test is recommended, as well as consultation with your vet. Do-it-yourself supplementation may not be safe when it comes to selenium.
Horse nutrition can be complicated - there's the zinc/copper amounts and ratio to consider, as well as the calcium/magnesium ratio . . .