Epidemiological studies have identified an inverse association of high-density lipoprotein (HDL) cholesterol with cardiovascular risk. Preclinical studies have shown that HDLs also exhibit cardioprotective functions in cultured cells and animal models. However, large, randomized, placebo-controlled clinical trials of HDL-raising agents have failed to reduce cardiovascular events in humans. Despite this negative outcome, glycaemic control was considerably improved in the patients with type 2 diabetes mellitus who were recruited into these trials. This finding indicated that HDLs might have anti-diabetic functions. This was shown to be the case in cell studies and animal studies, which have established that HDLs and apolipoprotein A1, the main HDL apolipoprotein, improve pancreatic β-cell function and increase insulin sensitivity. On the other hand, diabetes mellitus adversely affects the structure, anti-diabetic functions and cardioprotective functions of HDLs. These complex, closely linked relationships, which are undoubtedly worthy of further investigation, form the focus of this Review.