The protein composition of high-density lipoprotein (HDL) is extremely fluid. The quantity and quality of protein constituents drive the multiple biological functions of these lipoproteins, which include the ability to contrast atherogenesis, sustained inflammation, and toxic effects of reactive species. Several diseases where inflammation and oxidative stress participate in the pathogenetic process are characterized by perturbation in the HDL proteome. This change inevitably affects the functionality of the lipoprotein. An enlightening example in this frame comes from the literature on Alzheimer’s disease (AD). Growing lines of epidemiological evidence suggest that loss of HDL-associated proteins, such as lipoprotein phospholipase A2 (Lp-PLA2), glutathione peroxidase-3 (GPx-3), and paraoxonase-1 and paraoxonase-3 (PON1, PON3), may be a feature of AD, even at the early stage. Moreover, the decrease in these enzymes with antioxidant/defensive action appears to be accompanied by a parallel increase of prooxidant and proinflammatory mediators, in particular myeloperoxidase (MPO) and serum amyloid A (SAA). This type of derangement of balance between two opposite forces makes HDL dysfunctional, i.e., unable to exert its “natural” vasculoprotective property. In this review, we summarized and critically analyzed the most significant findings linking HDL accessory proteins and AD. We also discuss the most convincing hypothesis explaining the mechanism by which an observed systemic occurrence may have repercussions in the brain.