Mimicking the properties of the selenoenzyme glutathione peroxidase (GPx) has inspired great interest. In this report, a selenium-containing micellar catalyst was successfully constructed by the self-assembly of the cationic surfactant hexadecyltrimethylammonium bromide (CTAB) with benzeneseleninic acid (PhSeO2H) through hydrophobic and electrostatic interaction in water. The selenium-containing micellar catalyst demonstrated substrate specificity for both 3-carboxy-4-nitrobenzenethiol (ArSH, 2) and cumene hydroperoxide (CUOOH), and their complexation was confirmed by UV and fluorescence spectra. More importantly, it demonstrated high GPx activity in two assay systems. It is about 126 times more effective than the well-known GPx mimic ebselen in the classical coupled reductase assay system; however, by using hydrophobic substrate ArSH (2) as an alternative of glutathione (GSH, 1), the micellar catalyst exhibited remarkable 500-fold and 94 500-fold rate enhancements compared with that of PhSeO2H and PhSeSePh.