Glycosylphosphatidylinositol-anchored high density lipoprotein–binding protein 1 (GPIHBP1), an endothelial cell protein, binds LPL in the subendothelial spaces and transports it to the capillary lumen. In Gpihbp1−/− mice, LPL remains stranded in the subendothelial spaces, causing hypertriglyceridemia, but how Gpihbp1−/− mice respond to metabolic stress (e.g., cold exposure) has never been studied. In wild-type mice, cold exposure increases LPL-mediated processing of triglyceride-rich lipoproteins (TRLs) in brown adipose tissue (BAT), providing fuel for thermogenesis and leading to lower plasma triglyceride levels. We suspected that defective TRL processing in Gpihbp1−/− mice might impair thermogenesis and blunt the fall in plasma triglyceride levels. Indeed, Gpihbp1−/− mice exhibited cold intolerance, but the effects on plasma triglyceride levels were paradoxical. Rather than falling, the plasma triglyceride levels increased sharply (from ∼4,000 to ∼15,000 mg/dl), likely because fatty acid release by peripheral tissues drives hepatic production of TRLs that cannot be processed. We predicted that the sharp increase in plasma triglyceride levels would not occur in Gpihbp1−/−Angptl4−/− mice, where LPL activity is higher and baseline plasma triglyceride levels are lower. Indeed, the plasma triglyceride levels in Gpihbp1−/−Angptl4−/− mice fell during cold exposure. Metabolic studies revealed increased levels of TRL processing in the BAT of Gpihbp1−/−Angptl4−/− mice.