Cardiovascular disease (CVD) events are the main causes of death in end-stage renal disease (ESRD) patients on dialysis. The number and severity of CVD events remain inappropriate and difficult to explain by considering only the classic CVD risk factors. Our aim was to clarify the changes and the relationship of lipoprotein subfractions with other CVD risk factors, namely, body mass index (BMI) and adipokines, inflammation and low-density lipoprotein (LDL) oxidation, and the burden of the most prevalent comorbidities, diabetes mellitus (DM) and hypertension (HT). We studied 194 ESRD patients on dialysis and 22 controls; lipid profile, including lipoprotein subpopulations and oxidized LDL (oxLDL), C-reactive protein (CRP), adiponectin, leptin, and paraoxonase 1 activity were evaluated. Compared to controls, patients presented significantly lower levels of cholesterol, high-density lipoprotein cholesterol (HDLc), LDLc, oxLDL, and intermediate and small HDL and higher triglycerides, CRP, adiponectin, large HDL, very-low-density lipoprotein (VLDL), and intermediate-density lipoprotein- (IDL) B. Adiponectin levels correlated positively with large HDL and negatively with intermediate and small HDL, oxLDL/LDLc, and BMI; patients with DM (n = 17) and with DM+HT (n = 70), as compared to patients without DM or HT (n = 69) or only with HT (n = 38), presented significantly higher oxLDL, oxLDL/LDLc, and leptin and lower adiponectin. Obese patients (n = 45), as compared to normoponderal patients (n = 81), showed lower HDLc, adiponectin, and large HDL and significantly higher leptin, VLDL, and intermediate and small HDL. In ESRD, the higher adiponectin seems to favor atheroprotective HDL modifications and protect LDL particles from oxidative atherogenic changes. However, in diabetic and obese patients, adiponectin presents the lowest values, oxLDL/LDLc present the highest ones, and the HDL profile is the more atherogenic. Our data suggest that the coexistence of DM and adiposity in ESRD patients on dialysis contributes to a higher CVD risk, as showed by their lipid and adipokine profiles.