The main aim of this work is to review the mechanisms via which high-density lipoprotein (HDL)-mediated cholesterol trafficking through the central nervous system (CNS) occurs in the context of Alzheimer’s disease (AD). Alzheimer’s disease is characterized by the accumulation of extracellular amyloid beta (Aβ) and abnormally hyperphosphorylated intracellular tau filaments in neurons. Cholesterol metabolism has been extensively implicated in the pathogenesis of AD through biological, epidemiological, and genetic studies, with the APOE gene being the most reproducible genetic risk factor for the development of AD. This manuscript explores how HDL-mediated cholesterol is transported in the CNS, with a special emphasis on its relationship to Aβ peptide accumulation and apolipoprotein E (ApoE)-mediated cholesterol transport. Indeed, we reviewed all existing works exploring HDL-like-mediated cholesterol efflux and cholesterol uptake in the context of AD pathogenesis. Existing data seem to point in the direction of decreased cholesterol efflux and the impaired entry of cholesterol into neurons among patients with AD, which could be related to impaired Aβ clearance and tau protein accumulation. However, most of the reviewed studies have been performed in cells that are not physiologically relevant for CNS pathology, representing a major flaw in this field. The ApoE4 genotype seems to be a disruptive element in HDL-like-mediated cholesterol transport through the brain. Overall, further investigations are needed to clarify the role of cholesterol trafficking in AD pathogenesis.