AbstractGlutathione peroxidase (GPx) is a vital antioxidant enzyme involved in the reduction of reactive oxygen species and protects cells from oxidative damage. Consequently enormous efforts have been devoted to developing artificial catalysts with GPx function. Besides the research on enhancing the catalytic activity of GPx mimics, the design and construction of smart GPx models has also inspired great interest. Herein, a novel photo‐responsive selenium‐containing vesicular GPx model was successfully constructed by supramolecular self‐assembly of the cationic surfactant PyC10AzoC10Py with benzeneseleninic acid (PhSeO2H) through hydrophobic and electrostatic interactions in aqueous media. This selenium‐containing vesicular catalyst showed remarkable GPx‐like activity, which is 692 times more effective than PhSeO2H for the reduction of cumene hydroperoxide (CUOOH) by 4‐nitrobenzenethiol (NBT). Interestingly, when an equimolar amount of α‐CD was added, the GPx‐like activity of the catalytic vesicle declines remarkably due to the vesicle disaggregation in the presence of α‐CD. Whereas the biomimetic system was irradiated by UV light at 365 nm, the catalytic vesicle was formed again and the GPx‐like activity recovered.