Blood lipid levels are determined by a combination of genetic and environmental factors. Higher than average values of high-density lipoprotein cholesterol (HDL-cholesterol) have been observed in people of Japanese ethnicity. The aim of this study was to investigate whether Japanese immigrants to Brazil and subsequent generations maintain the protective benefits associated with higher levels of HDL-cholesterol, and to examine the potential associations between HDL-cholesterol and a variety of other blood lipids, anthropometric and lifestyle factors. Healthy men and women aged 35 years and older who were Native Japanese (n = 198) or Japanese-Brazilians (JB) living in São Paulo, Brazil (n = 198) and in some Japanese cities (n = 246) were investigated. Anthropometric variables, blood lipids including HDL-cholesterol, and lifestyle factors were assessed. Serum HDL-cholesterol was observed to be lower for JB in São Paulo (both women and men) compared with Natives and JB in Japan. Among the groups, triglycerides, waist circumference, LDL-cholesterol, meat intake, stress, and smoking were observed to be independently negatively associated with HDL-cholesterol, whereas total cholesterol, fish intake, and physical activity were positively associated. Lower levels of HDL-cholesterol among both men and women of JB in São Paulo compared with both other groups were confirmed even after lifestyle adjustments. Our findings highlight the significantly lower levels of HDL-cholesterol among Japanese-Brazilians living in São Paulo city compared to Japanese-Brazilians and Native Japanese residing in Japan. Although several lifestyle factors were found to be significantly associated with HDL-cholesterol, they cannot adequately explain the role of the Brazilian cultural environment on HDL-cholesterol levels.