High-density lipoproteins (HDL) are a class of natural nanostructures found in the blood and are composed of lipids, proteins, and nucleic acids (e.g. microRNA). Their size, which appears to be well-suited for both tissue penetration/retention as well as payload delivery, long circulation half-life, avoidance of endosomal sequestration, and potential low toxicity are all excellent properties to model in a drug delivery vehicle. In this review, we consider high-density lipoproteins for therapeutic delivery systems. First we discuss the structure and function of natural HDL, describing in detail its biogenesis and transformation from immature, discoidal forms, to more mature, spherical forms. Next we consider features of HDL making them suitable vehicles for drug delivery. We then describe the use of natural HDL, discoidal HDL analogs, and spherical HDL analogs to deliver various classes of drugs, including small molecules, lipids, and oligonucleotides. We briefly consider the notion that the drug delivery vehicles themselves are therapeutic, constituting entities that exhibit “theralivery.” Finally, we discuss challenges and future directions in the field.