A number of studies have highlighted important alterations of the lipid profile in COVID-19 patients. Besides the well-known atheroprotective function, HDL displays anti-inflammatory, anti-oxidative, and anti-infectious properties. The aim of this retrospective study was to assess the HDL anti-inflammatory and antioxidant features, by evaluation of HDL-associated Serum amyloid A (SAA) enrichment and HDL-paraoxonase 1 (PON-1) activity, in a cohort of COVID-19 patients hospitalized at the Cardiorespiratory COVID-19 Unit of Fondazione IRCCS Ca’ Granda Ospedale Maggiore Policlinico of Milan. COVID-19 patients reached very low levels of HDL-c (mean ± SD: 27.1 ± 9.7 mg/dL) with a marked rise in TG (mean ± SD: 165.9 ± 62.5 mg/dL). Compared to matched-controls, SAA levels were significantly raised in COVID-19 patients at admission. There were no significant differences in the SAA amount between 83 alive and 22 dead patients for all-cause in-hospital mortality. Similar findings were reached in the case of PON-1 activity, with no differences between alive and dead patients for all-cause in-hospital mortality. In conclusion, although not related to the prediction of in-hospital mortality, reduction in HDL-c and the enrichment of SAA in HDL are a mirror of SARS-CoV-2 positivity even at the very early stages of the infection.