The level of high density lipoprotein cholesterol (HDL-C) is inversely related with risk of coronary artery disease (CAD) and low level of HDL-C increases the risk of developing cardiovascular diseases. It has been consistent that HDL-C is an independent risk of cardiovascular diseases. However, pharmacological interventions intended to increase HDL-C have not been consistently associated to clinical benefits or anticipated CAD risk reduction. Thus, the function of HDL is more efficient than the HDL-C level to evaluate the risk of cardiovascular events. HDL contains the most abundant proteins than any other lipoprotein. Due to the advances of proteomics, more and more HDL associated proteins have been identified. Besides apolipoproteins and enzymes, the two widely recognized subgroups of HDL proteins, HDL also contains lipid transfer proteins, acute-phase response proteins, complement components, and proteinase inhibitors. Besides lipid metabolism and transport, HDL also plays unexpected roles in immune response, acute phase response, complement activation, metal ion binding and so on. The role of HDL is in a range of diseases, from atherosclerosis to diseases with high risk of cardiovascular events, such as end-stage renal disease, diabetes mellitus. This review summarizes the progression of HDL proteome, function and its roles in CAD as well as diseases with high risk of cardiovascular events.