The low incidence of cardiovascular disease in countries bordering the Mediterranean basin, where olive oil is the main source of dietary fat, and the negative association between this disease with high density lipoproteins has stimulated interest. This review summarizes the current knowledge gathered from human and animal studies regarding olive oil and high density lipoproteins. Cumulative evidence suggests that high density lipoprotein (HDL) cholesterol, and its main apolipoprotein A1, may be increased by consuming olive oil when compared with carbohydrate and low fat diets in humans. Conflicting results have been found in many studies when olive oil diets were compared with other sources of fat. The role of virgin olive oil minor components on its protective effect has been demonstrated by a growing number of studies although its exact mechanism remains to be elucidated. Dietary amount of olive oil, use of virgin olive oil, cholesterol intake, and physiopathological states such as genetic background, sex, age, obesity or fatty liver are variables that may offset those effects. Further studies in this field in humans and in animal models are warranted due to the complexity of HDL particles.