Drought stress restricts the growth of okra (Abelmoschus esculentus L.) by disrupting its biochemical and physiological functions. The current study was conducted to evaluate the role of selenium (0, 1, 2, and 3 mg Se L−1 as a foliar application) in improving okra tolerance to drought (control (100% field capacity-FC), mild stress (70% FC), and severe stress (35% FC)) imposed 30 days after sowing (DAS). Drought (severe) markedly decreased chlorophyll (32.21%) and carotenoid (39.6%) contents but increased anthocyanin (40%), proline (46.8%), peroxidase (POD by 12.5%), ascorbate peroxidase (APX by 11.9%), and catalase (CAT by 14%) activities. Overall, Se application significantly alleviated drought stress-related biochemical disturbances in okra. Mainly, 3 mg Se L−1 significantly increased chlorophyll (21%) as well as anthocyanin (15.14%), proline (18.16%), and antioxidant activities both under drought and control conditions. Selenium played a beneficial role in reducing damage caused by oxidative stress, enhancing chlorophyll and antioxidants contents, and improved plant tolerance to drought stress. Therefore, crops including okra especially, must be supplemented with 3 mg L−1 foliar Se for obtaining optimum yield in arid and semiarid drought-affected areas.