High Density Lipoprotein (HDL) particles, beyond serving as lipid transporters and playing a key role in reverse cholesterol transport, carry a highly variable number of proteins, micro-RNAs, vitamins, and hormones, which endow them with the ability to mediate a plethora of cellular and molecular mechanisms that promote cardiovascular health. It is becoming increasingly evident, however, that the presence of cardiovascular risk factors and co-morbidities alters HDLs cargo and protective functions. This concept has led to the notion that metrics other than HDL-cholesterol levels, such as HDL functionality and composition, may better capture HDL cardiovascular protection. On the other hand, the potential of HDL as natural delivery carriers has also fostered the design of engineered HDL-mimetics aiming to improve HDL efficacy or as drug-delivery agents with therapeutic potential. In this paper, we first provide an overview of the molecules known to be transported by HDL particles and mainly discuss their functions in the cardiovascular system. Second, we describe the impact of cardiovascular risk factors and co-morbidities on HDL remodeling. Finally, we review the currently developed HDL-based approaches.