Lipoproteins interact with immune cells, macrophages and endothelial cells - key players of the innate and adaptive immune system. High-density lipoprotein (HDL) particles seem to have evolved as part of the innate immune system since certain HDL subspecies contain combinations of apolipoproteins with immune regulatory functions. HDL is enriched in anti-inflammatory lipids, such as sphingosine-1-phosphate and certain saturated lysophospholipids. HDL reduces inflammation and protects against infection by modulating immune cell function, vasodilation and endothelial barrier function. HDL suppresses immune cell activation at least in part by modulating the cholesterol content in cholesterol/sphingolipid-rich membrane domains (lipid rafts), which play a critical role in the compartmentalization of signaling pathways. Acute infections, inflammation or autoimmune diseases lower HDL cholesterol levels and significantly alter HDL metabolism, composition and function. Such alterations could have a major impact on disease progression and may affect the risk for infections and cardiovascular disease. This review article aims to provide a comprehensive overview of the immune cell modulatory activities of HDL. We focus on newly discovered activities of HDL-associated apolipoproteins, enzymes, lipids, and HDL mimetic peptides.