While increased levels of high‐density lipoprotein (HDL)‐cholesterol correlate with protection against cardiovascular disease, recent findings demonstrate that HDL function, rather than HDL‐cholesterol levels, may be a better indicator of cardiovascular risk. One mechanism by which HDL function can be compromised is through modification by reactive aldehydes such as acrolein (Acro), 4‐hydroxynonenal, and malondialdehyde (MDA). In this study, we tested the hypothesis that modification of HDL with reactive aldehydes would impair HDL’s athero‐protective functions in macrophages. Compared to native HDL, Acro‐ and MDA‐modified HDL have impaired abilities to promote migration of primary peritoneal macrophages isolated from C57BL6/J mice. Incubation of macrophages with MDA‐HDL also led to an increased ability to generate reactive oxygen species. Our studies revealed that the changes in HDL function following aldehyde modification are likely not through activation of canonical nuclear factor‐kappa B signaling pathways. Consistent with this finding, treatment of either noncholesterol‐loaded macrophages or foam cells with modified forms of HDL does not lead to significant changes in expression levels of inflammatory markers. Importantly, our data also demonstrate that changes in HDL function are dependent on the type of modification present on the HDL particle. Our findings suggest that modification of HDL with reactive aldehydes can impair some, but not all, of HDL’s athero‐protective functions in macrophages.