Clinical studies have shown that assessing circulating concentrations of high-density lipoprotein (HDL) particles by nuclear magnetic resonance (NMR) spectroscopy is superior to HDL-cholesterol in predicting cardiovascular risk. We tested the hypothesis that circulating concentrations of HDL particles predict 3-month mortality of patients with acute heart failure (AHF). Out of 152 included patients, 52% were female, additionally the mean patient age was 75.2 ± 10.3 years, and three-month mortality was 27%. Serum lipoprotein profile at admission was determined by NMR spectroscopy. Univariate logistic regression analyses revealed a significant inverse association of total (odds ratio (OR) 0.38 per 1-SD increase, 95% confidence interval (CI) 0.23–0.60, p < 0.001) and small HDL particle concentrations (OR 0.35 per 1-SD increase, 95% CI 0.19–0.60, p < 0.001) with 3-month mortality, whereas concentrations of large HDL particles (p = 0.353) or HDL-cholesterol (p = 0.107) showed no significant association. After adjustment for age, sex, mean arterial pressure, low-density lipoprotein cholesterol, glomerular filtration rate, urea, and N-terminal pro-brain natriuretic peptide, both the total and small HDL particle concentrations remained significantly associated with 3-month mortality. Based on our results, we conclude that total and small HDL particle concentrations strongly and independently predict 3-month mortality in AHF patients.