Critical illness is characterized by a hypercatabolic response encompassing endocrine and metabolic alterations. Not only the uptake, synthesis and metabolism of glucose and amino acids is majorly affected, but also the homeostasis of lipids and cholesterol is altered during acute and prolonged critical illness. Patients who suffer from critically ill conditions such as sepsis, major trauma, surgery or burn wounds display an immediate and sustained reduction in low plasma LDL-, HDL- and total cholesterol concentrations, together with a, less pronounced, increase in plasma free fatty acids. The severity of these alterations is associated with severity of illness, but the underlying pathophysiological mechanisms are multifactorial and only partly clarified. This narrative review aims to provide an overview of the current knowledge of how lipid and cholesterol uptake, synthesis and metabolism is affected during critical illness. Reduced nutritional uptake, increased scavenging of lipoproteins as well as an increased conversion to cortisol or other cholesterol-derived metabolites might all play a role in the decrease in plasma cholesterol. The acute stress response to critical illness creates a lipolytic cocktail, which might explain the increase in plasma free fatty acids, although reduced uptake and oxidation, but also increased lipogenesis, especially in prolonged critical illness, will also affect the circulating levels. Whether a disturbed lipid homeostasis warrants intervention or should primarily be interpreted as a signal of severity of illness requires further research.