Background: Inflammation is the keystone in the disease’s pathological process in response to any damaging stimuli. Therefore, any agent that inhibits the inflammatory response is under focus, either a drug or a bioactive compound. Selenium nanoparticles have drawn attention in various biomedical applications, including the anti-inflammatory activity. Purpose: In the current study, we aimed to evaluate the capacity of different surface coating materials (soybean lecithin, PEG 6000, and β-cyclodextrin) to enhance the anti-inflammatory activity of the synthesized selenium nanoparticles (SeNPs). The capability of the coated SeNPs to adsorb indomethacin (IND) on their surfaces compared to the uncoated SeNPs was also evaluated. Methods: SeNPs were synthesized, coated with different materials, and characterized in vitro using X-ray diffraction, UV-Vis spectrophotometer, FTIR, SEM, TEM, and particle size and zeta potential measurements. The in vivo anti-inflammatory activity of the uncoated/coated SeNPs loaded into hydrogel was evaluated using a carrageenan-induced paw edema rat model. The effect of SeNPs surface coatings was further evaluated for IND loading capacity. Results: Our findings proved the superior anti-inflammatory activity of all coated SeNPs compared to the uncoated SeNPs, especially with β-cyclodextrin surface coating. Regarding the IND loading capacity of the prepared uncoated/coated SeNPs, the amount of drug loaded was 0.12, 1.12, 0.3, and 0.14 μg IND/μg SeNPs for the uncoated, lecithin-, PEG- and β-CD-coated SeNPs, respectively. Conclusion: Surface functionalization of SeNPs can provide a synergistic therapeutic activity. Our results are promising for further investigation of the in vivo anti-inflammatory synergistic activity of the IND-loaded surface-coated SeNPs.