Cutting-edge lipidomic profiling measures hundreds or even thousands of lipids in plasma and is increasingly used to investigate mechanisms of cardiovascular disease (CVD). In this review, we introduce lipidomic techniques, describe distributions of lipids across lipoproteins, and summarize findings on the association of lipids with CVD based on lipidomics. The main findings of 16 cohort studies were that, independent of total and high-density lipoprotein cholesterol (HDL-c), ceramides (d18:1/16:0, d18:1/18:0, and d18:1/24:1) and phosphatidylcholines (PCs) containing saturated and monounsaturated fatty acyl chains are positively associated with risks of CVD outcomes, while PCs containing polyunsaturated fatty acyl chains (PUFA) are inversely associated with risks of CVD outcomes. Lysophosphatidylcholines (LPCs) may be positively associated with risks of CVD outcomes. Interestingly, the distributions of the identified lipids vary across lipoproteins: LPCs are primarily contained in HDLs, ceramides are mainly contained in low-density lipoproteins (LDLs), and PCs are distributed in both HDLs and LDLs. Thus, the potential mechanism behind previous findings may be related to the effect of the identified lipids on the biological functions of HDLs and LDLs. Only eight studies on the lipidomics of HDL and non-HDL particles and CVD outcomes have been conducted, which showed that higher triglycerides (TAGs), lower PUFA, lower phospholipids, and lower sphingomyelin content in HDLs might be associated with a higher risk of coronary heart disease (CHD). However, the generalizability of these studies is a major concern, given that they used case-control or cross-sectional designs in hospital settings, included a very small number of participants, and did not correct for multiple testing or adjust for blood lipids such as HDL-c, low-density lipoprotein cholesterol (LDL-c), or TAGs. Overall, findings from the literature highlight the importance of research on lipidomics of lipoproteins to enhance our understanding of the mechanism of the association between the identified lipids and the risk of CVD and allow the identification of novel lipid biomarkers in HDLs and LDLs, independent of HDL-c and LDL-c. Lipidomic techniques show the feasibility of this exciting research direction, and the lack of high-quality epidemiological studies warrants well-designed prospective cohort studies.