Selective Sync - save space in my laptop

Hello!

I use dropbox, but I would like to start using iCloud.

What I do in Dropbox is that I keep all my folders in the cloud and I download only the folders I use the most in my computer. Can I do that in iCloud?

I tried to remove a file from my iCloud folder, but it won't be accesible in any other device.

Thank you.