High-density lipoproteins (HDL) play a critical role in cholesterol homeostasis. Apolipoprotein E (APOE), particularly the E4 allele, is a significant risk factor for Alzheimer’s disease but is also a key HDL-associated protein involved in lipid transport in both the periphery and central nervous systems. The objective was to determine the influence of the APOE genotype on HDL function and size in the context of Alzheimer’s disease. HDL from 194 participants (non-demented controls, mild cognitive impairment, and Alzheimer’s disease dementia) were isolated from the plasma. The HDL cholesterol efflux capacity (CEC), lecithin-cholesterol acyltransferase (LCAT) activity, and particle diameter were measured. Neuropsychological test scores, clinical dementia rating, and magnetic resonance imaging scores were used to determine if cognition is associated with HDL function and size. HDL CEC and LCAT activity were reduced in APOE3E4 carriers compared to APOE3E3 carriers, regardless of diagnosis. In APOE3E3 carriers, CEC and LCAT activity were lower in patients. In APOE3E4 patients, the average particle size was lower. HDL LCAT activity and particle size were positively correlated with the neuropsychological scores and negatively correlated with the clinical dementia rating. We provide evidence for the first time of APOE genotype-specific alterations in HDL particles in Alzheimer’s disease and an association between HDL function, size, and cognitive function.