In obese individuals, atherogenic dyslipidemia is a very common and important factor in the increased risk of cardiovascular disease. Adiposity-associated dyslipidemia is characterized by low high-density lipoprotein cholesterol (HDL-C) levels and an increase in triglyceride-rich lipoproteins. Several factors and mechanisms are involved in lowering HDL-C levels in the obese state and HDL quantity and quality is closely related to adiponectin levels and the bioactive lipid sphingosine-1-phosphate. Recent studies have shown that obesity profoundly alters HDL metabolism, resulting in altered HDL subclass distribution, composition, and function. Importantly, weight loss through gastric bypass surgery and Mediterranean diet, especially when enriched with virgin olive oil, is associated with increased HDL-C levels and significantly improved metrics of HDL function. A thorough understanding of the underlying mechanisms is crucial for a better understanding of the impact of obesity on lipoprotein metabolism and for the development of appropriate therapeutic approaches. The objective of this review article was to summarize the newly identified changes in the metabolism, composition, and function of HDL in obesity and to discuss possible pathophysiological consequences.