The objective of this study was to evaluate the effects of increasing level of Se-enriched yeast on milk Se concentration, milk performance, and antioxidant and immunity status in lactating dairy goats. Four primiparous dairy goats (BW = 49.69 ± 3.17 kg) were assigned to 4 doses of Se-enriched yeast treatments in a 4 × 4 Latin Square design for 4 21-d periods. Se-enriched yeast was provided at 0 (Control), 0.23 (LSY), 0.46 (MSY) and 0.69 mg (HSY) per goat daily. Milk samples were collected on d 17–21 and blood samples were taken on d 21 of each period. Data were analyzed as a 4 × 4 Latin square design using the mixed procedure of SAS software. The statistical mixed model contained the fixed effects of treatment and period, and the random effect of the goat. Selenium concentration in milk increased with increasing Se-enriched yeast supplementation. Milk Se concentration for goats with 0.69 mg Se-enriched yeast supplementation was elevated by 2 times as compared with those with Control (0.027 mg/kg vs. 0.014 mg/kg; P < 0.05). No significant differences among treatments (P > 0.05) were observed for milk performance or milk fatty acid profile. Serum malondialdehyde concentration was linearly decreased (5.48, 4.75, 3.67 and 2.69 nmol/mL for control, LSY, MSY and HSY, respectively; P = 0.006), whereas glutathione peroxidase concentration was quadratically (P < 0.0001) and total antioxidative capacity concentration was linearly (P = 0.001) increased in response to incremental Se-enriched yeast supplementation. These results suggest that Se-enriched yeast supplementation improved antioxidant status of lactating dairy goats. In conclusion, increasing level of Se-enriched yeast supplementation elevated milk Se concentration, and improved antioxidant capacity in lactating dairy goats without negative influence on milk performance and immune status.