High-density lipoproteins (HDLs) are heterogeneous particles with pleiotropic functions including anti-inflammatory and anti-infectious effects. In clinical studies, lower HDL-associated cholesterol (HDL-C) concentration has been associated with severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) infection, severity and mortality. A reduction in the number of HDL particles, particularly small ones has been observed with alterations in their protein and lipid composition impairing their functions. These observations have supported HDL supplementation with promising results in small preliminary studies. This review summarizes available evidence on these different aspects to better understand the two-way interaction between HDLs and Coronavirus disease 2019 (COVID-19) and guiding future HDL-based therapies for preparing the next pandemic.