Atherosclerosis is the major cause of cardiovascular morbidity and mortality. A multitude of pro-atherogenic mediators are known liable for the initiation and progression of atherogenic vascular lesions. Only few endogenous molecules are known so far with cardiovascular protective properties, whereas high-density lipoprotein (HDL) is one of the most important. Beside cholesterol efflux, many pleiotropic cell-mediated functions of HDL are known so far. HDL is a spherical particle that contains different proteins and lipids. Especially sphingolipids, like sphingosine-1-phosphate (S1P), has gained great attention. The HDL associated S1P seems to be responsible for many of the pleiotropic effects of HDL by activating special S1P receptors. This review focuses on HDL associated sphingolipids as mediators of known protective pleiotropic effects of HDL and their possible therapeutic relevance.