The objective of this experiment was to study the effect of elemental nano-selenium (NS) on feed digestibility, rumen fermentation, and urinary purine derivatives in sheep. Eight male ruminally cannulated sheep (42.5 ± 3.2 kg of body weight, BW) were used in a replicated 4×4 Latin square experiment in four 20 day periods. Depending on treatment designation, sheep were fed the basal diet supplemented with 0 (control), 0.3, 3 and 6 g of nano-Se/kg dry matter (DM). Ruminal pH (range of 6.68–6.80) and ammonia N concentration (range of 9.95–12.49 mg/100 mL) was decreased (P<0.01), and total VFA concentration (range of 73.63–77.72 mM) was increased linearly (P<0.01) and quadratically (P<0.01) with increasing nano-Se supplementation. The ratio of acetate to propionate was linearly (P<0.01) and quadratically (P<0.01) decreased due to the increasing of propionate concentration. In situ ruminal neutral detergent fiber (aNDF) degradation of Leymus chinensis and crude protein (CP) of soybean meal were linearly (P<0.01) and quadratically (P<0.01) improved by feeding nano-Se. Similarly, nutrients digestibility in the total tract and urinary excretion of purine derivatives were also quadratically (P<0.01) changed by increasing nano-Se supplementation. The present results indicated that nano-Se supplementation in basal diet improved rumen fermentation and feed utilization. Nano-Se could also stimulate rumen microbial activity, digestive microorganisms or enzyme activity. The optimum dose of nano-Se was about 3.0 g/kg dietary DM in sheep.