Nanoscale zero-valent iron (nZVI) has shown high efficacy for removing selenite (Se(IV)) from water, yet the reaction mechanism in the solid phase, especially the redox transformations of selenite in the oxide layer of nZVI, are not clearly understood. In this study, the speciation and distribution of selenium (Se) in the oxide layer after reactions with nZVI were studied using high-resolution X-ray photoelectron spectroscopy (HR-XPS) with sputter depth profiling, and the speciation and distribution of Se were proven to be depth dependent, with the Se species shifting from Se(IV), Se(IV)/Se(0) to Se(IV)/Se(0)/Se(−II) from the iron oxide shell–water interface to the Fe(0) core. The chemical potential gradient at the water–nZVI interface, where the Fe species change from Fe(III) oxides in the outermost periphery to a mixed Fe(III)/Fe(II) interlayer, then Fe(II) oxide and pure Fe(0) phases, forms a perfect conduit for the electron transfer from the iron core for the reductive transformation of surface-bound Se(IV) pollutants, then driving the Se(IV) reduction to Se(0) and Se(−II). These results reinforce the previous work on the efficacy of nZVI for removing and mitigating heavy metals, and provide strong evidence of the ability of nZVI to separate and enrich Se(IV) from wastewater based upon the fundamentals of the structure–activity relationship.