Lipoproteins containing apolipoprotein B modify associations of elevated urinary albumin excretion (UAE) with cardiovascular disease (CVD). Additionally, it is known that elevated UAE alters high-density lipoprotein functionality. Accordingly, we examined whether HDL features might also modify UAE-associated CVD. Multivariable Cox proportional-hazards modeling was performed on participants of the PREVEND (Prevention of Renal and Vascular Endstage Disease) study at the baseline screening with standard lipid/lipoprotein analyses and, three-to-four years later (second screen), with nuclear magnetic resonance lipoprotein analyses focusing on HDL parameters including HDL particle (HDL-P) and apolipoprotein A-I concentrations. These were used with UAE and derived measures of HDL apoA-I content (apoA-I/HDL-C and apoA-I/HDL-P) in risk models adjusted for gender, age, apoB, diabetes, past CVD history, CRP and GFR. Interaction analysis was also performed. Baseline screening revealed significant associations inverse for HDL-C and apoA-I and direct for apoA-I/HDL-C. The second screening demonstrated associations inverse for HDL-P, large HDL-P, medium HDL-P, HDL size, and apoA-I/HDL-P. Significant interactions with UAE included apoA-I/HDL-C at the baseline screening, and apoA-I/HDL-P and medium HDL-P but not apoA-I/HDL-C at the second screening. We conclude that features of HDL particles including apoA-I/HDL-P, indicative of HDL apoA-I content, and medium HDL-P modify associations of elevated UAE with CVD risk.