Heart failure with preserved ejection fraction (HFpEF) represents a major unmet therapeutic need. This study investigated whether feeding coconut oil (CC diet) for 26 weeks in female C57BL/6N mice induces HFpEF and evaluated the effect of reconstituted high-density lipoprotein (HDL)Milano (MDCO-216) administration on established HFpEF. Eight intraperitoneal injections of MDCO-216 (100 mg/kg protein concentration) or of an equivalent volume of control buffer were executed with a 48-h interval starting at 26 weeks after the initiation of the diet. Feeding the CC diet for 26 weeks induced pathological left ventricular hypertrophy characterized by a 17.1% (p < 0.0001) lower myocardial capillary density and markedly (p < 0.0001) increased interstitial fibrosis compared to standard chow (SC) diet mice. Parameters of systolic and diastolic function were significantly impaired in CC diet mice resulting in a reduced stroke volume, decreased cardiac output, and impaired ventriculo-arterial coupling. However, ejection fraction was preserved. Administration of MDCO-216 in CC diet mice reduced cardiac hypertrophy, increased capillary density (p < 0.01), and reduced interstitial fibrosis (p < 0.01). MDCO-216 treatment completely normalized cardiac function, lowered myocardial acetyl-coenzyme A carboxylase levels, and decreased myocardial transforming growth factor-β1 in CC diet mice. In conclusion, the CC diet induced HFpEF. Reconstituted HDLMilano reversed pathological remodeling and functional cardiac abnormalities.