Aims Physical activity has consistently been shown to improve cardiovascular health and high-density lipoprotein-cholesterol levels. However, only small and heterogeneous studies have investigated the effect of exercise on high-density lipoprotein functions. Our aim is to evaluate, in the largest observational study to date, the association between leisure time physical activity and a range of high-density lipoprotein functional traits. Methods The study sample consisted of 296 Spanish adults at high cardiovascular risk. Usual leisure time physical activity and eight measures of high-density lipoprotein functionality were averaged over two measurements, one year apart. Multivariable linear regression models were used to explore the association between leisure time physical activity (exposure) and each high-density lipoprotein functional trait (outcome), adjusted for cardiovascular risk factors. Results Higher levels of leisure time physical activity were positively and linearly associated with average levels over one year of plasma high-density lipoprotein-cholesterol and apolipoprotein A-I, paraoxonase-1 antioxidant activity, high-density lipoprotein capacity to esterify cholesterol and cholesterol efflux capacity in individuals free of type 2 diabetes only. The increased cholesterol esterification index with increasing leisure time physical activity reached a plateau at around 300 metabolic equivalents.min/day. In individuals with diabetes, the relationship with cholesteryl ester transfer protein followed a U-shape, with a decreased cholesteryl ester transfer protein activity from 0 to 300 metabolic equivalents.min/day, but increasing from there onwards. Increasing levels of leisure time physical activity were associated with poorer high-density lipoprotein vasodilatory capacity. Conclusions In a high cardiovascular risk population, leisure time physical activity was associated not only with greater circulating levels of high-density lipoprotein-cholesterol, but also with better markers of high-density lipoprotein functionality, namely cholesterol efflux capacity, the capacity of high-density lipoprotein to esterify cholesterol and paraoxonase-1 antioxidant activity in individuals free of diabetes and lower cholesteryl ester transfer protein activity in individuals with type 2 diabetes.