This study aims to unravel the mechanism of colossal magnetoresistance (CMR) observed in n-type HgCr$_2$Se$_4$, in which low-density conduction electrons are exchange-coupled to a three-dimensional Heisenberg ferromagnet with a Curie temperature $T_C\approx$ 105 K. Near room temperature the electron transport exhibits an ordinary semiconducting behavior. As temperature drops below $T^*\simeq2.1T_C$, the magnetic susceptibility deviates from the Curie-Weiss law, and concomitantly the transport enters an intermediate regime exhibiting a pronounced CMR effect before a transition to metallic conduction occurs at $T