High-density lipoproteins (HDLs) represent a family of particle characterized by the presence of apolipoprotein A-I (apoA-I) and by their ability to transport cholesterol from peripheral tissues back to the liver conferring them a cardioprotective function. HDLs also display pleiotropic properties including antioxidant, anti-apoptotic, antithrombotic, anti-inflammatory, or anti-infectious functions. Clinical data demonstrate that HDL cholesterol levels decrease rapidly during sepsis and that these low levels are correlated with morbi-mortality. Experimental studies emphasized notable structural and functional modifications of HDL particles in inflammatory states, including sepsis. Finally, HDL infusion in animal models of sepsis improved survival and provided a global endothelial protective effect. These clinical and experimental studies reinforce the potential of HDL therapy in human sepsis. In this review, we will detail the different effects of HDLs that may be relevant under inflammatory conditions and the lipoprotein changes during sepsis and we will discuss the potentiality of HDL therapy in sepsis.