Plasma lipoproteins are assemblies of lipids and apolipoproteins that mediate lipid transport and metabolism. High-density lipoproteins (HDL) remove excess cell cholesterol and provide protection against atherosclerosis. Important aspects of metabolic HDL remodeling, including apolipoprotein dissociation and lipoprotein fusion, are mimicked in thermal denaturation. We report the first study of the protein–lipid complexes by pressure perturbation calorimetry (PPC) beyond 100 °C. In PPC, volume expansion coefficient αv(T) is measured during heating; in proteins, αv(T) is dominated by hydration. Calorimetric studies of reconstituted HDL and of human high-density, low-density, and very low-density lipoproteins reveal that apolipoprotein unfolding, dissociation, and lipoprotein fusion are endothermic transitions without detectable volume changes. This may result from the limited applicability of PPC to slow kinetically controlled transitions such as thermal remodeling of lipoproteins and/or from the possibility that this remodeling causes no significant changes in the solvent structure and, hence, may not involve large transient solvent exposure of apolar moieties. Another conclusion is that apolipoprotein A-I in solution adsorbs to the phospholipid surface; protein hydration is preserved upon such adsorption. We posit that adsorption to a phospholipid surface helps recruit free apolipoprotein to the plasma membrane and facilitate HDL biogenesis.