Cadmium (Cd) and lead (Pb) are known to enhance immune cell damages and to decrease cellular immunity, promoting higher susceptibility to infectious diseases. Selenium (Se) is an essential element involved in immunity and reactive oxygen species scavenging. This study aimed at evaluating how Cd and Pb and low nutritional (Se) quality modulate immune response to a bacterial lipopolysaccharide (LPS) challenge in wood mice (Apodemus sylvaticus). Mice were trapped near a former smelter in northern France in sites of High or Low contamination. Individuals were challenged immediately after capture or after five days of captivity, fed a standard or a Se-deficient diet. Immune response was measured with leukocyte count and plasma concentration of TNF-α, a pro-inflammatory cytokine. Faecal and plasma corticosterone (CORT), a stress-hormone involved in anti-inflammatory processes, was measured to assess potential endocrine mechanisms. Higher hepatic Se and lower faecal CORT were measured in free-ranging wood mice from High site. LPS-challenged individuals from High site showed steeper decrease of circulating leukocytes of all types, higher TNF-α concentrations, and a significant increase of CORT, compared to individuals from Low site. Challenged captive animals fed standard food exhibited similar patterns (decrease of leukocytes, increase of CORT, and detectable levels of TNF-α), with individuals from lowly contaminated site having higher immune responses than their counterparts from highly polluted site. Animals fed Se-deficient food exhibited lymphocytes decrease, no CORT variation, and average levels of TNF-α. These results suggest (i) a higher inflammatory response to immune challenge in free-ranging animals highly exposed to Cd and Pb, (ii) a faster recovery of inflammatory response in animals lowly exposed to pollution when fed standard food than more exposed individuals, and (iii) a functional role of Se in the inflammatory response. The role of Se and mechanisms underlying the relationship between glucocorticoid and cytokine remain to be elucidated.