Infections with human immunodeficiency virus (HIV) and acquired immune deficiency syndrome (AIDS) represent one of the greatest health burdens worldwide. The complex pathophysiological pathways that link highly active antiretroviral therapy (HAART) and HIV infection per se with dyslipidemia make the management of lipid disorders and the subsequent increase in cardiovascular risk essential for the treatment of people living with HIV (PLHIV). Amongst HAART regimens, darunavir and atazanavir, tenofovir disoproxil fumarate, nevirapine, rilpivirine, and especially integrase inhibitors have demonstrated the most favorable lipid profile, emerging as sustainable options in HAART substitution. To this day, statins remain the cornerstone pharmacotherapy for dyslipidemia in PLHIV, although important drug-drug interactions with different HAART agents should be taken into account upon treatment initiation. For those intolerant or not meeting therapeutic goals, the addition of ezetimibe, PCSK9, bempedoic acid, fibrates, or fish oils should also be considered. This review summarizes the current literature on the multifactorial etiology and intricate pathophysiology of hyperlipidemia in PLHIV, with an emphasis on the role of different HAART agents, while also providing valuable insights into potential switching strategies and therapeutic options.