In this work, a novel method of dual silica monolithic capillary microextraction (CME) on-line hyphenated with inductively coupled plasma mass spectrometry (ICP-MS) was developed for the sequential determination of inorganic As(III)/As(V) and Se(IV)/Se(VI) in natural waters. The dual CME column was composed of a 3-mercaptopropyltrimethoxysilane (MPTS) modified silica monolithic capillary (C1) and a N-(2-aminoethyl)-3-aminopropyltrimethoxysilane (AAPTS) modified silica monolithic capillary (C2), which were both prepared by sol–gel technology. Various experimental parameters affecting separation/preconcentration of As(III)/As(V) and Se(IV)/Se(VI) by C1 and C2 were studied in detail and it was found that under pH 3.0, As(III) and Se(IV) were completely adsorbed by C1 while As(V) and Se(VI) could not be retained on C1 and directly passed through C1. As(V) and Se(IV) in the effluent of C1 could be quantitatively retained on C2 under the same operation conditions as C1. With the aid of valve-switching, As(III), Se(IV) and As(V), Se(VI) retained on C1 and C2 were sequentially desorbed by 100 µL of appropriate eluents for subsequent on-line ICP-MS determination. Due to their simultaneous separation from the matrix and quantitative retention on dual silica CME system, the four species of As(III)/As(V) and Se(IV)/Se(VI) could be accurately determined without oxidation/reduction or subtraction, respectively, and the polyatomic mass interference of 40Ar35Cl on 75As in quadrupole (Q) ICP-MS could be avoided. With a consumption of 5 mL sample solution and 100 µL eluents under the optimized conditions, the detection limits (3σ) were found to be 10.9 ng L−1 for As(III), 6.2 ng L−1 for As(V), 31.1 ng L−1 for Se(IV) and 11.6 ng L−1 for Se(VI), and the enrichment factors were 34.3, 36.1, 37.5 and 39.0 for As(III), As(V), Se(IV) and Se(VI), respectively. The relative standard deviations (RSDs) of the four target species were less than 6.5% (C = 1 µg L−1, n = 7), and the sample throughput was 8 h−1. Two certified reference materials of environmental water samples, GSBZ50004-88 and GSBZ50027-94, were analyzed to validate the proposed method, and the determined values were in good agreement with the certified values. The method was also applied for the speciation analysis of inorganic As(III)/As(V) and Se(IV)/Se(VI) in natural waters, and recoveries for the spiked samples were in the range of 88–108%.