High-density lipoproteins (HDLs) represent a class of lipoproteins very heterogeneous in structure, composition, and biological functions, which carry out reverse cholesterol transport, antioxidant, anti-inflammatory, antithrombotic, and vasodilator actions. Despite the evidence suggesting a clear inverse relationship between HDL cholesterol (HDL-c) concentration and the risk for cardiovascular disease, plasma HDL cholesterol levels do not predict the functionality and composition of HDLs. The importance of defining both the amount of cholesterol transported and lipoprotein functionality has recently been highlighted. Indeed, different clinical conditions such as obesity, diabetes mellitus type 2 (T2DM), and cardiovascular disease (CVD) can alter the HDL functionality, converting normal HDLs into dysfunctional ones, undergoing structural changes, and exhibiting proinflammatory, pro-oxidant, prothrombotic, and proapoptotic properties. The aim of the current review is to summarize the actual knowledge concerning the physical-chemical alteration of HDLs related to their functions, which have been found to be relevant in several pathological conditions associated with systemic inflammation and oxidative stress.