Given the failure of high-density lipoprotein (HDL) raising therapies to reduce cardiovascular disease risk, attention has turned towards HDL composition and vascular protective functions. In individuals with insulin resistance, exercise interventions recover HDL function. However, the effect of exercise on HDL in otherwise healthy individuals is unknown. This cross-sectional study aimed to measure HDL composition and antioxidant / endothelial anti-inflammatory function in insulin sensitive endurance athlete and healthy control men. HDL was isolated using density gradient ultracentrifugation. HDL composition was measured using microplate assays for apolipoprotein A-I, total cholesterol content and apolipoprotein M. HDL protein composition was measured using nano-liquid chromatography tandem mass spectrometry. HDL subclass distribution was measured by native gel electrophoresis. HDL in vitro antioxidant function was measured by paraoxonase-1 activity assay and anti-inflammatory function assessed in endothelial cells. Compared to controls, endurance athlete HDL had higher apolipoprotein A-1 (1.65 ± 0.62 mg/mL vs 1.21 ± 0.34 mg/mL, p = 0.028) and higher total cholesterol content (1.54 ± 0.33 mmol/L vs 2.09 ± 0.44 mmol/L, p < 0.001). Proteomics revealed higher apolipoprotein A-II, A-IV and D and transthyretin in endurance athlete HDL versus controls. There was no difference observed in in vitro HDL antioxidant or anti-inflammatory functions between controls and endurance athletes. Despite a more favourable composition, endurance athlete HDL did not have higher in vitro antioxidant or anti-inflammatory function. It is possible that HDL has a ceiling of function, i.e. that healthy HDL function cannot be enhanced by endurance exercise.