Cholesterol and other lipids carried by lipoproteins play an indispensable role in fetal development. Recent evidence suggests that maternally derived high-density lipoprotein (HDL) differs from fetal HDL with respect to its proteome, size, and function. Compared to the HDL of adults, fetal HDL is the major carrier of cholesterol and has a unique composition that implies other physiological functions. Fetal HDL is enriched in apolipoprotein E, which binds with high affinity to the low-density lipoprotein receptor. Thus, it appears that a primary function of fetal HDL is the transport of cholesterol to tissues as is accomplished by low-density lipoproteins in adults. The fetal HDL-associated bioactive sphingolipid sphingosine-1-phosphate shows strong vasoprotective effects at the fetoplacental vasculature. Moreover, lipoprotein-associated phospholipase A2 carried by fetal-HDL exerts anti-oxidative and athero-protective functions on the fetoplacental endothelium. Notably, the mass and activity of HDL-associated paraoxonase 1 are about 5-fold lower in the fetus, accompanied by an attenuation of anti-oxidative activity of fetal HDL. Cholesteryl ester transfer protein activity is reduced in fetal circulation despite similar amounts of the enzyme in maternal and fetal serum. This review summarizes the current knowledge on fetal HDL as a potential vasoprotective lipoprotein during fetal development. We also provide an overview of whether and how the protective functionalities of HDL are impaired in pregnancy-related syndromes such as pre-eclampsia or gestational diabetes mellitus.