Recent studies have shown a correlation between high-density lipoprotein cholesterol (HDL-C) and bone mineral density (BMD) in adults, but their relationship is unclear in adolescents. This study aimed to explore whether a correlation existed between them among adolescents aged 12–19. Data analyzed in our study was fetched from the National Health and Nutrition Examination Survey (NHANES) database 2011–2018. The relationship between HDL-C level and total BMD value was analyzed by multivariate logistic regression models, fitted smoothing curves, and generalized additive models. 3770 participants participated in this analysis. After adjusting for all relevant covariates involved in this study, we found a negative correlation between HDL-C levels and total bone density in male adolescents.Furthermore, the stratified analysis showed that all covariables-adjusted models retained the negative correlation excepting female, black, or Mexican American subgroups. An inverted U-shaped curve represented the correlation of HDL-C and total BMD among adolescents aged 16 to 19, and the turning point was 1.06 mmol/L. After adjusting for all relevant covariates involved in this study, the study found a negative correlation between HDL-C levels and total BMD in male adolescents aged 12 to 19, particularly among those of races other than Black and Mexican. There was a saturation effect between HDL-C level and total BMD in 16–19-year-old adolescents. The turning point was 1.06 mmol/L. Therefore, HDL-C might be a biomarker to detect bone health and further perform a more detailed examination.