The coincidence of terminal heat stress and late grain filling stage is a major constraint in wheat. The objectives of this study were to determine the thermo-sensitivity of reproductive stages of wheat, optimize the application of exogenous selenium to wheat, and explore the correlation of biochemical and agronomic attributes of wheat under heat stress. A 3 × 5 factorial experiment was laid out in a randomized complete block design with split arrangement and replicated thrice. The main plots were comprised of 3 levels of heat stress, viz., H0 = no heat stress; H1 = heat from spike to grain filling; and H2 = heat from flowering to grain filling, while subplots included 5 levels of foliar selenium, Se0 = control (water spray); Se25 = 25 mg L-1; Se50 = 50 mg L-1; Se75 = 75 mg L-1; and Se100 = 100 mg L-1. More detrimental responses were observed under H1 compared to H2. Under H0, the application of Se at 75 mg L-1 and 100 mg L-1 significantly increased superoxide dismutase, peroxidase, soluble proteins, and osmotic potential, while it reduced malondialdehyde compared to other doses of Se. Under H1 and H2, Se treatment (100 mg L-1 Se) resulted in a significant increase in the recorded biochemical attributes and a significant reduction in malondialdehyde. Similar and higher plant height, spike length, and grain yield were observed at 75 mg L-1 Se and 100 mg L-1 Se, compared to other doses. Our findings suggest that wheat spike initiation was more sensitive to heat stress than flowering. While the application of 75 mg L-1 Se was beneficial to plants under ambient environmental conditions, its responses were more promising under heat stress. The recorded biochemical attributes were closely related to the agronomic traits of wheat.