Statins are 3-hydroxy-3-methylglutaryl coenzyme A (HMG-CoA) reductase inhibitors used worldwide to manage dyslipidaemia and thus limit the development of atherosclerotic disease and its complications. These atheroprotective drugs are now known to exert pleiotropic actions outside of their cholesterol-lowering activity, including altering immune cell function. Macrophages are phagocytic leukocytes that play critical functional roles in the pathogenesis of atherosclerosis and are directly targeted by statins. Early studies documented the anti-inflammatory effects of statins on macrophages, but emerging evidence suggests that these drugs can also enhance pro-inflammatory macrophage responses, creating an unresolved paradox. This review comprehensively examines the in vitro, in vivo, and clinical literature to document the statin-induced changes in macrophage polarization and immunomodulatory functions, explore the underlying mechanisms involved, and offer potential explanations for this paradox. A better understanding of the immunomodulatory actions of statins on macrophages should pave the way for the development of novel therapeutic approaches to manage atherosclerosis and other chronic diseases and conditions characterised by unresolved inflammation.