The hypothesis of the study was that feeding a relatively low amount of Se biofortified alfalfa hay during the dry period and early lactation would improve selenium status and glutathione peroxidase activity in dairy cows and their calves. Ten Jersey and 8 Holstein primiparous dairy cows were supplemented with Se biofortified (TRT; n = 9) or non-biofortified (CTR; n = 9) alfalfa hay at a rate of 1 kg/100 kg of BW mixed with the TMR from 40 d prior parturition to 2 weeks post-partum. Se concentration in whole blood, liver, milk, and colostrum, the transfer of Se to calves, and the glutathione peroxidase (GPx) activity were assessed. TRT had 2-fold larger (P < 0.05) Se in blood v. CTR that resulted in larger Se in liver and colostrum but not milk and larger GPx activity in plasma and erythrocytes but not in milk. Compared to CTR, calves from TRT had larger Se in blood but only a numerical (P = 0.09) larger GPx activity in plasma. A positive correlation was detected between Se in the blood and GPx activity in erythrocytes and plasma in cows. Our results demonstrated that feeding pregnant primiparous dairy cows with a relatively low amount of Se-biofortified alfalfa hay is an effective way to increase Se in the blood and liver, leading to greater antioxidant activity via GPx. The same treatment was effective in improving Se concentration in calves but had a modest effect on their GPx activity. Feeding Se biofortified hay increased Se concentration in colostrum but not in milk.