After taking Selenium (L- selenomethionine, yeast free) 25mcg I get pain in my muscles, brainfog and depression feelings.
It seems strange that you should get these symptoms on such a low dose. The average selenium intake from foods is just over 100 mcg daily, 1 so it's hard to understand why adding an additional 25 mcg to the 100 mcg you are likely getting daily would cause such problems.
Are you sure that it is yeast-free, because the yeast used to make selenium, Saccharomyces cerevisiae (Baker's yeast, or Brewer's yeast), has known immune-boosting effects, which could cause the symptoms you experienced.
When I tried a pure Saccharomyces cerevisiae supplement called EpiCor, I had greatly increased depression after just one dose.