Over the years, the relationship between high-density lipoprotein (HDL) and atherosclerosis, initially highlighted by the Framingham study, has been revealed to be extremely complex, due to the multiple HDL functions involved in atheroprotection. Among them, HDL cholesterol efflux capacity (CEC), the ability of HDL to promote cell cholesterol efflux from cells, has emerged as a better predictor of cardiovascular (CV) risk compared to merely plasma HDL-cholesterol (HDL-C) levels. HDL CEC is impaired in many genetic and pathological conditions associated to high CV risk such as dyslipidemia, chronic kidney disease, diabetes, inflammatory and autoimmune diseases, endocrine disorders, etc. The present review describes the current knowledge on HDL CEC modifications in these conditions, focusing on the most recent human studies and on genetic and pathophysiologic aspects. In addition, the most relevant strategies possibly modulating HDL CEC, including lifestyle modifications, as well as nutraceutical and pharmacological interventions, will be discussed. The objective of this review is to help understanding whether, from the current evidence, HDL CEC may be considered as a valid biomarker of CV risk and a potential pharmacological target for novel therapeutic approaches.