Atherosclerosis is a multifactorial disease of medium and large arteries, characterized by the presence of lipid-rich plaques lining the intima over time. It is the main cause of cardiovascular diseases and death worldwide. Redox imbalance and lipid peroxidation could play key roles in atherosclerosis by promoting a bundle of responses, including endothelial activation, inflammation, and foam cell formation. The oxidation of polyunsaturated fatty acids generates various lipid oxidation products such as reactive carbonyl species (RCS), including 4-hydroxy alkenals, malondialdehyde, and acrolein. RCS covalently bind to nucleophilic groups of nucleic acids, phospholipids, and proteins, modifying their structure and activity and leading to their progressive dysfunction. Protein lipoxidation is the non-enzymatic post-translational modification of proteins by RCS. Low-density lipoprotein (LDL) oxidation and apolipoprotein B (apoB) modification by RCS play a major role in foam cell formation. Moreover, oxidized LDLs are a source of RCS, which form adducts on a huge number of proteins, depending on oxidative stress intensity, the nature of targets, and the availability of detoxifying systems. Many systems are affected by lipoxidation, including extracellular matrix components, membranes, cytoplasmic and cytoskeletal proteins, transcription factors, and other components. The mechanisms involved in lipoxidation-induced vascular dysfunction are not fully elucidated. In this review, we focus on protein lipoxidation during atherogenesis.