(1) Background: high-density lipoproteins (HDLs) exhibit antioxidant and anti-inflammatory properties that play an important role in preventing the development of atherosclerotic lesions and possibly also diabetes. In turn, both type 1 diabetes (T1D) and type 2 diabetes (T2D) are susceptible to having deleterious effects on these HDL functions. The objectives of the present review are to expound upon the antioxidant and anti-inflammatory functions of HDLs in both diabetes in the setting of atherosclerotic cardiovascular diseases and discuss the contributions of these HDL functions to the onset of diabetes. (2) Methods: this narrative review is based on the literature available from the PubMed database. (3) Results: several antioxidant functions of HDLs, such as paraoxonase-1 activity, are compromised in T2D, thereby facilitating the pro-atherogenic effects of oxidized low-density lipoproteins. In addition, HDLs exhibit diminished ability to inhibit pro-inflammatory pathways in the vessels of individuals with T2D. Although the literature is less extensive, recent evidence suggests defective antiatherogenic properties of HDL particles in T1D. Lastly, substantial evidence indicates that HDLs play a role in the onset of diabetes by modulating glucose metabolism. (4) Conclusions and perspectives: impaired HDL antioxidant and anti-inflammatory functions present intriguing targets for mitigating cardiovascular risk in individuals with diabetes. Further investigations are needed to clarify the influence of glycaemic control and nephropathy on HDL functionality in patients with T1D. Furthermore, exploring the effects on HDL functionality of novel antidiabetic drugs used in the management of T2D may provide intriguing insights for future research.