Menopause is associated with a proatherogenic shift in serum metabolome and high-density lipoprotein (HDL) particle size distribution. We analyzed lipidomes and proteomes of HDL with nuclear magnetic resonance and mass spectrometry from pre-, peri-, and postmenopausal women to get a deeper insight into the structure of HDL. The S-HDL particles constituted 62% of all HDL particles in perimenopause and 60% in pre- and postmenopause, thus, perimenopausal HDL had the highest S-HDL lipid content, notably, being enriched in triacylglycerols. This feature is a known risk factor for coronary heart disease. We identified 728 proteins from the purified HDL particles and quantified 44 representing functional classes of lipid metabolism, transport and signaling, immune defense, and regulation of cellular processes. Perimenopausal HDL exhibited fewer apolipoproteins (APOA1, APOA2, APOC1, APOC3, and APOE) per particle than premenopausal. We did not detect menopausal status-associated deteriorations in the LCAT activity or cholesterol efflux capacity, albeit the calculated lipid class ratios suggest defects, especially within PERI XL-HDL particles, potentially affecting the particle size distribution and triacylglycerol content. In summary, menopause is associated with structural differences in HDL potentially compromising the cardioprotective quality of HDL.