High-density lipoprotein (HDL) plays a major role in vasodilation and in the reduction of low-density lipoprotein (LDL) oxidation, inflammation, apoptosis, thrombosis, and infection; however, HDL is now less functional in these roles under certain conditions. This paper focuses on HDL, its anti-inflammation behavior, and the mechanisms by which HDL interacts with components of the innate and adaptive immune systems. Genome-wide association studies (GWAS) and proteomic studies have elucidated important molecules involved in the interaction between HDL and the immune system. An understanding of these mechanisms is expected to be useful for the prevention and treatment of chronic inflammation due to metabolic syndrome, atherosclerosis, or various autoimmune diseases.