The aim of the present study was to evaluate the effects of an exercise training program on lipid profile and composition of high-density lipoprotein (HDL) subfractions in systemic lupus erythematosus (SLE) patients and healthy controls. A 12-week, randomized trial was conducted. Thirty-three physically inactive SLE patients were randomly assigned into two groups: trained (SLE-TR, n = 17) and non-trained (SLE-NT, n = 16). A gender-, BMI-, and age-matched healthy control groups (C-TR, n = 11) also underwent the exercise program. Subjects were assessed at baseline (Pre) and 12 weeks after the 3-month exercise training program (Post) for lipid profile (HDL, low-density lipoprotein, very low-density lipoprotein, and total cholesterol and triglycerides levels) and composition of the HDL subfractions HDL2 and HDL3. SLE patients showed significantly lower contents of Apo A-I, phospholipid, and triglyceride in the HDL3 subfraction (p < 0.05, between-group comparisons) than healthy controls at baseline. The exercise training program did not affect any of the parameters in the SLE-TR group (p > 0.05, within-group comparisons), although there was a trend toward decreased circulating Apo B levels (p = 0.06, ES = -0.3, within-group comparison). In contrast, the same exercise training program was effective in increasing contents of cholesterol, triglyceride, and phospholipid in the HDL2 subfraction in the C-TR group (p = 0.036, ES = 2.06; p = 0.038, ES = 1.77; and p = 0.0021, ES = 2.37, respectively, within-group comparisons), whereas no changes were observed in the composition of the HDL3 subfraction. This study showed that SLE patients have a less effective response to a 12-week exercise training program than healthy individuals, with regard to lipid profile and chemical composition of HDL subfractions. These results reinforce the need for further studies to define the optimal training protocol to improve lipid profile and particularly the HDL composition in these patients (registered at clinicaltrials.gov as NCT01515163).