Se can enhance lactation performance by improving nutrient utilization and antioxidant status. However, sodium selenite (SS) can be reduced to non-absorbable elemental Se in the rumen, thereby reducing the intestinal availability of Se. The study investigated the impacts of SS and coated SS (CSS) supplementation on lactation performance, nutrient digestibility, ruminal fermentation and microbiota in dairy cows. Sixty multiparous Holstein dairy cows were blocked by parity, daily milk yield and days in milk and randomly assigned to five treatments: control, SS addition (0.3 mg Se/kg DM as SS addition) or CSS addition (0.1, 0.2 and 0.3 mg Se/kg DM as CSS addition for low CSS (LCSS), medium CSS (MCSS) and high CSS (HCSS), respectively). Experiment period was 110 days with 20 days of adaptation and 90 days of sample collection. Dry matter intake was higher for MCSS and HCSS compared with control. Yields of milk, milk fat and milk protein and feed efficiency were higher for MCSS and HCSS than for control, SS and LCSS. Digestibility of DM and organic matter was highest for CSS addition, followed by SS addition and then control. Digestibility of CP was higher for MCSS and HCSS than for control, SS and LCSS. Higher digestibility of ether extract, NDF and ADF was observed for SS or CSS addition. Ruminal pH decreased with dietary Se addition. Acetate to propionate ratio and ammonia N were lower, and total volatile fatty acids (VFAs) concentration was greater for SS, MCSS and HCSS than control. Ruminal H ion concentration was highest for MCSS and HCSS and lowest for control. Activities of cellobiase, carboxymethyl-cellulase, xylanase and protease and copies of total bacteria, fungi, Ruminococcus flavefaciens, Fibrobacter succinogenes and Ruminococcus amylophilus increased with SS or CSS addition. Activity of α-amylase, copies of protozoa, Ruminococcus albus and Butyrivibrio fibrisolvens and serum glucose, total protein, albumin and glutathione peroxidase were higher for SS, MCSS and HCSS than for control and LCSS. Dietary SS or CSS supplementation elevated blood Se concentration and total antioxidant capacity activity. The data implied that milk yield was elevated due to the increase in total tract nutrient digestibility, total VFA concentration and microorganism population with 0.2 or 0.3 mg Se/kg DM from CSS supplementation in dairy cows. Compared with SS, HCSS addition was more efficient in promoting lactation performance of dairy cows.