Introduction: Severe acute respiratory syndrome coronavirus2 has caused a global pandemic of coronavirus disease 2019 (COVID-19). High-density lipoproteins (HDLs), particles chiefly known for their reverse cholesterol transport function, also display pleiotropic properties, including anti-inflammatory or antioxidant functions. HDLs and low-density lipoproteins (LDLs) can neutralize lipopolysaccharides and increase bacterial clearance. HDL cholesterol (HDL-C) and LDL cholesterol (LDL-C) decrease during bacterial sepsis, and an association has been reported between low lipoprotein levels and poor patient outcomes. The goal of this study was to characterize the lipoprotein profiles of severe ICU patients hospitalized for COVID-19 pneumonia and to assess their changes during bacterial ventilator-associated pneumonia (VAP) superinfection. Methods: A prospective study was conducted in a university hospital ICU. All consecutive patients admitted for COVID-19 pneumonia were included. Lipoprotein levels were assessed at admission and daily thereafter. The assessed outcomes were survival at 28 days and the incidence of VAP. Results: A total of 48 patients were included. Upon admission, lipoprotein concentrations were low, typically under the reference values ([HDL-C] = 0.7[0.5-0.9] mmol/L; [LDL-C] = 1.8[1.3-2.3] mmol/L). A statistically significant increase in HDL-C and LDL-C over time during the ICU stay was found. There was no relationship between HDL-C and LDL-C concentrations and mortality on day 28 (log-rank p = 0.554 and p = 0.083, respectively). A comparison of alive and dead patients on day 28 did not reveal any differences in HDL-C and LDL-C concentrations over time. Bacterial VAP was frequent (64%). An association was observed between HDL-C and LDL-C concentrations on the day of the first VAP diagnosis and mortality ([HDL-C] = 0.6[0.5-0.9] mmol/L in survivors vs. [HDL-C] = 0.5[0.3-0.6] mmol/L in nonsurvivors, p = 0.036; [LDL-C] = 2.2[1.9-3.0] mmol/L in survivors vs. [LDL-C] = 1.3[0.9-2.0] mmol/L in nonsurvivors, p = 0.006). Conclusion: HDL-C and LDL-C concentrations upon ICU admission are low in severe COVID-19 pneumonia patients but are not associated with poor outcomes. However, low lipoprotein concentrations in the case of bacterial superinfection during ICU hospitalization are associated with mortality, which reinforces the potential role of these particles during bacterial sepsis.