We previously reported that feeding Se-biofortified alfalfa hay to weaned beef calves in a preconditioning program increases whole-blood Se (WB-Se) concentrations and nasal microbiome abundance and diversity during the preconditioning period, decreases morbidity and mortality during the feedlot period, and increases carcass weight and quality at slaughter. The objective of the current study was to see whether similar improvements can be achieved through Se supplementation of dams during various pregnancy trimesters. In a two-year experimental study, 80 Angus-cross cows received once-weekly Se-yeast boluses containing 105 mg of Se, during either the first (TR-1), second (TR-2), or third (TR-3) pregnancy trimester, or were not bolused (CTR). Whole-blood Se concentrations were higher from CTR, to TR-1, to TR-2, and to TR-3 in newborn calves (all p < 0.01). At weaning, only calves from TR-3 mothers had higher WB-Se concentrations compared with calves from CTR mothers (p = 0.02), and no significant differences in nasal microbiome abundance and diversity or nasal microbiota were observed. In the feedlot period, morbidity was low, and no differences were observed. At slaughter, no differences in carcass weight and quality were observed. In conclusion, Se supplementation of pregnant cows is effective for increasing WB-Se concentration of newborn calves, and the increase can be sustained until weaning for calves born to TR-3 dams. However, the increase in WB-Se concentrations is small and does not result in beneficial changes in the nasal microbiome. Thus, calves should be fed Se-biofortified forages again at weaning in a preconditioning program in order to diversify the nasal microbiome prior to entering the feedlot.