Mouse selenoprotein P (Sepp1) consists of an N-terminal domain (residues 1–239) that contains one selenocysteine (U) as residue 40 in a proposed redox-active motif (-UYLC-) and a C-terminal domain (residues 240–361) that contains nine selenocysteines. Sepp1 transports selenium from the liver to other tissues by receptor-mediated endocytosis. It also reduces oxidative stress in vivo by an unknown mechanism. A previously uncharacterized plasma form of Sepp1 is filtered in the glomerulus and taken up by renal proximal convoluted tubule (PCT) cells via megalin-mediated endocytosis. We purified Sepp1 forms from the urine of megalin^−/− mice using a monoclonal antibody to the N-terminal domain. Mass spectrometry revealed that the purified urinary Sepp1 consisted of N-terminal fragments terminating at 11 sites between residues 183 and 208. They were therefore designated Sepp1^UF. Because the N-terminal domain of Sepp1 has a thioredoxin fold, Sepp1^UF were compared with full-length Sepp1, Sepp1^Δ240–361, and Sepp1^U40S as a substrate of thioredoxin reductase-1 (TrxR1). All forms of Sepp1 except Sepp1^U40S, which contains serine in place of the selenocysteine, were TrxR1 substrates, catalyzing NADPH oxidation when coupled with H₂O₂ or tert-butylhydroperoxide as the terminal electron acceptor. These results are compatible with proteolytic cleavage freeing Sepp1^UF from full-length Sepp1, the form that has the role of selenium transport, allowing Sepp1^UF to function by itself as a peroxidase. Ultimately, plasma Sepp1^UF and small selenium-containing proteins are filtered by the glomerulus and taken up by PCT cells via megalin-mediated endocytosis, preventing loss of selenium in the urine and providing selenium for the synthesis of glutathione peroxidase-3.