Sepsis is a high-risk factor for the death of critical patients. High density lipoprotein (HDL) are the major protective serum proteins, and the serum levels of HDL are closely related to the severity of sepsis. The anti-inflammatory and anti-oxidation properties of HDL, may be able to play an important role in the innate immune response. Thereby it may reduce the damage of septic shock and multiple organ dysfunction syndrome (MODS) in animals or human beings, and improve the prognosis. In order to unveil the metabolism of HDL in septic patients and its effects on both progression and prognosis of sepsis, this review not only focuses on the composition and structure of HDL, but also analyzes its pivotal role in inflammatory immune response and anti-oxidation.