High density lipoproteins (HDLs) are commonly known for their anti-atherogenic properties that include functions such as the promotion of cholesterol efflux and reverse cholesterol transport, as well as antioxidant and anti-inflammatory activities. However, because of some chronic inflammatory diseases, such as type 2 diabetes mellitus (T2DM), significant changes occur in HDLs in terms of both structure and composition. These alterations lead to the loss of HDLs’ physiological functions, to transformation into dysfunctional lipoproteins, and to increased risk of cardiovascular disease (CVD). In this review, we describe the main HDL structural/functional alterations observed in T2DM and the molecular mechanisms involved in these T2DM-derived modifications. Finally, the main available therapeutic interventions targeting HDL in diabetes are discussed.