Recent studies have implicated pre-beta and beta lipoproteins (VLDL and LDL) in the etiopathogenesis of complications of diabetes mellitus (DM). In contrast, alpha lipoprotein (HDL) is protective of the beta cells of the pancreas. This study examined the distribution of HDL in the islets of Langerhans of murine models of type 1 diabetic rats (streptozotocin (STZ)-induced DM in Wistar rats) and type 2 models of DM rats (Goto–Kakizaki (GK), non-diabetic Zucker lean (ZL), and Zucker diabetic and fatty (ZDF)). The extent by which HDL co-localizes with insulin or glucagon in the islets of the pancreas was also investigated. Pancreatic tissues of Wistar non-diabetic, diabetic Wistar, GK, ZL, and ZDF rats were processed for immunohistochemistry. Pancreatic samples of GK rats fed with either a low-fat or a high-fat diet were prepared for transmission immune-electron microscopy (TIEM) to establish the cytoplasmic localization of HDL in islet cells. HDL was detected in the core and periphery of pancreatic islets of Wistar non-diabetic and diabetic, GK, ZL, and ZDF rats. The average total of islet cells immune positive for HDL was markedly (<0.05) reduced in GK and ZDF rats in comparison to Wistar controls. The number of islet cells containing HDL was also remarkably (p < 0.05) reduced in Wistar diabetic rats and GK models fed on high-fat food. The co-localization study using immunofluorescence and TIEM techniques showed that HDL is detected alongside insulin within the secretory granules of β-cells. HDL did not co-localize with glucagon. This observation implies that HDL may contribute to the metabolism of insulin.