Hydrogen selenide (H₂Se), selenium's central metabolic intermediate, is emerging as the candidate fourth gasotransmitter. This membrane permeable gas mediates rapid redox signaling and serves as the obligate precursor for selenoprotein biosynthesis, essential for neuronal redox homeostasis and survival. Engineered selenium donors, designed for controlled H₂Se release or targeted selenoprotein support, exert neuroprotection by attenuating oxidative stress, reducing neuroinflammation, inhibiting ferroptosis, and preserving synaptic integrity across Alzheimer's disease, Parkinson's disease, epilepsy, traumatic brain injury, and stroke. Advances in stimuli-responsive donor chemistry and nanocarrier platforms enable spatiotemporally precise delivery, mitigating selenium's narrow therapeutic window. However, H₂Se is cytoprotective at physiological concentrations but toxic at supraphysiological levels and its clinical translation demands rigorous pharmacokinetic optimization, context-aware targeting, and dynamic biomarkers. This review bridges gasotransmitter biology with translational pharmacology, delineating H₂Se metabolism, donor design principles, and disease-specific applications. By integrating mechanistic insights with precision delivery strategies, we provide a roadmap for harnessing H₂Se and selenium donors as next-generation, clinically viable neurotherapeutics.