Selby secured the World Championship in May and then backed that up with the UK Championship title last month.
The world number one overcame Mark Williams 6-5 on Wednesday in his The Masters opener, and the 33-year-old admits the chance to hold all three major crowns at once is on his mind.
He told the BBC: "Coming here, winning all three tournaments has been on my mind. It is such a tough tournament to win but it will be better if I just go out and play."
Williams was the last player to hold all three titles at once, a feat he achieved in 2003.