Selenium (Se) is an essential trace element in humans and sows, having a biological function mediated in part by its incorporation into selenoproteins. This study was conducted to investigate the effects of maternal 2-hydroxy-4-methylselenobutanoic acid (HMSeBA), an organic Se source, on reproductive performance, antioxidant capacity and inflammatory status of sows and their offspring. Forty-three Landrace × Yorkshire sows were randomly allocated to receive one of the following three diets during gestation: control diet (control, basal diet, n = 15), sodium selenite (Na2SeO3) supplemented diet (Na2SeO3, basal diet + Na2SeO3 at 0.3 mg Se per kg, n = 13), and HMSeBA supplemented diet (HMSeBA, basal diet + HMSeBA at 0.3 mg Se per kg, n = 15). Blood samples of sows and piglets, placentas and piglet liver samples were analyzed for selenium status, antioxidant capacity and inflammatory cytokines. Results showed that, as compared to the control group, HMSeBA supplementation increased the number of born alive piglets and plasma concentrations of total selenium and selenoprotein P in both sows and piglets. Besides, the activities of antioxidant enzymes in the blood of sows, umbilical cord and piglets, placentas and piglets’ liver were increased by dietary HMSeBA supplementation as compared to the control group, while malondialdehyde concentration (p < 0.05) was decreased in the blood of sows, umbilical cord and newborn piglets. In addition, maternal HMSeBA intake during gestation up-regulated antioxidant-related selenoprotein gene expression in the placenta (GPx2, GPx3, p < 0.05) and in the liver of newborn piglets (GPx1, GPx2, GPx3, TXNRD2, p < 0.05). Moreover, as compared to the control group, sows and newborn piglets in the Na2SeO3 and HMSeBA groups had a lower serum interleukin-6 (p < 0.05) concentration, and placentas in the HMSeBA group had lower IL-1β, IL-6 and IL-8 gene expression (p < 0.05). In conclusion, maternal supplementation of HMSeBA during pregnancy improved antioxidant capacities and reduced the inflammation level in mater, placenta, and fetus. This finding may highlight the important role of selenoproteins (especially GPXs) in preventing negative consequences of over-production of free radicals and inflammatory cytokines during gestation and at births.