Lipoproteins were initially defined according to their composition (lipids and proteins) and classified according to their density (from very low- to high-density lipoproteins—HDLs). Whereas their capacity to transport hydrophobic lipids in a hydrophilic environment (plasma) is not questionable, their primitive function of cholesterol transporter could be challenged. All lipoproteins are reported to bind and potentially neutralize bacterial lipopolysaccharides (LPS); this is particularly true for HDL particles. In addition, HDL levels are drastically decreased under infectious conditions such as sepsis, suggesting a potential role in the clearance of bacterial material and, particularly, LPS. Moreover, "omics" technologies have unveiled significant changes in HDL composition in different inflammatory states, ranging from acute inflammation occurring during septic shock to low-grade inflammation associated with moderate endotoxemia such as periodontal disease or obesity. In this review, we will discuss HDL modifications associated with exposure to pathogens including bacteria, viruses and parasites, with a special focus on sepsis and the potential of HDL therapy in this context. Low-grade inflammation associated with atherosclerosis, periodontitis or metabolic syndrome may also highlight the protective role of HDLs in theses pathologies by other mechanisms than the reverse transport of cholesterol.