Numerous epidemiological studies document an inverse relationship between plasma high-density lipoprotein (HDL) levels and the extent of atherosclerotic disease. The atheroprotective effects of HDL are more and more often seen in conjunction with the ability of HDL to restrict proinflammatory processes and thereby to carry out cytoprotection and organoprotection. Lysosphingolipids such as sphingosine 1 phosphate, sphingosylphosphorylcholine, and lysosulfatide are biologically active compounds that have recently been found to be associated with HDL particles. An increasing body of evidence suggests that several anti-inflammatory effects exerted by HDL can be attributed to the presence of lysosphingolipids in this lipoprotein fraction. In this review, we discuss the latest developments concerning the potential atheroprotective role of HDL-associated lysosphingolipids.