High-density lipoproteins (HDLs) are heterogeneous lipoproteins that modify their composition and functionality depending on physiological or pathological conditions. The main roles of HDL are cholesterol efflux, and anti-inflammatory and antioxidant functions. These functions can be compromised under pathological conditions. HDLs play a role in the immune system as anti-inflammatory molecules but when inflammation occurs, HDLs change their composition and carry pro-inflammatory cargo. Hence, many molecular intermediates that influence inflammatory microenvironments and cell signaling pathways can modulate HDLs structural modification and function. This review provides a comprehensive assessment of the importance of HDL composition and anti-inflammatory function in the onset and progression of atherosclerotic cardiovascular diseases. On the other hand, immune cell activation during progression of atheroma plaque formation can be influenced by HDLs through HDL-derived cholesterol depletion from lipid rafts and through HDL interaction with HDL receptors expressed on T and B lymphocytes. Cholesterol efflux is mediated by HDL receptors located in lipid rafts in peripheral cells, which undergo membrane structural modifications, and interferes with subsequent molecules interactions or intracellular signaling cascades. Regarding antigen-presentation cells such as macrophages or dendritic cells, HDL function may then modulate lymphocytes activation in immune response. Our review also contributes to the understanding of the effects exerted by HDLs in signal transduction associated to our immune cell population during chronic diseases progression.