Several lines of epidemiological evidence link increased levels of high-density lipoprotein-cholesterol (HDL-C) with lower risk of Alzheimer’s disease (AD). This observed relationship might reflect the beneficial effects of HDL on the cardiovascular system, likely due to the implication of vascular dysregulation in AD development. The atheroprotective properties of this lipoprotein are mostly due to its proteome. In particular, apolipoprotein (Apo) A-I, E, and J and the antioxidant accessory protein paraoxonase 1 (PON1), are the main determinants of the biological function of HDL. Intriguingly, these HDL constituent proteins are also present in the brain, either from in situ expression, or derived from the periphery. Growing preclinical evidence suggests that these HDL proteins may prevent the aberrant changes in the brain that characterize AD pathogenesis. In the present review, we summarize and critically examine the current state of knowledge on the role of these atheroprotective HDL-associated proteins in AD pathogenesis and physiopathology.