High-density lipoprotein (HDL) levels are an inverse risk factor for cardiovascular diseases, and sphingomyelin (SM) is the second most abundant phospholipid component and the major sphingolipid in HDL. Considering the marked presence of SM, the present review has focused on the current knowledge about this phospholipid by addressing its variable distribution among HDL lipoparticles, how they acquire this phospholipid, and the important role that SM plays in regulating their fluidity and cholesterol efflux from different cells. In addition, plasma enzymes involved in HDL metabolism such as lecithin-cholesterol acyltransferase or phospholipid transfer protein are inhibited by HDL SM content. Likewise, HDL SM levels are influenced by dietary maneuvers (source of protein or fat), drugs (statins or diuretics) and modified in diseases such as diabetes, renal failure or Niemann-Pick disease. Furthermore, increased levels of HDL SM have been shown to be an inverse risk factor for coronary heart disease. The complexity of SM species, described using new lipidomic methodologies, and their distribution in different HDL particles under many experimental conditions are promising avenues for further research in the future.