The impact of cholesteryl ester transfer protein (CETP) on atherosclerosis is highly debated. This study aimed to investigate the associations between plasma CETP or CETP genotypes and carotid intima-media thickness (cIMT) and the influence of high-density lipoprotein cholesterol (HDL-C) on these associations. Plasma CETP and HDL-C concentrations were measured in 552 subjects free of any pharmacological treatment from the IMPROVE cohort, which includes 3711 European subjects at high cardiovascular risk. CETP single-nucleotide polymorphisms (SNPs) and cIMT measures (cIMTmax; cIMTmean–max of bifurcations, common and internal carotids; plaque-free common carotid [PF CC]-IMTmean) were available for the full cohort. In drug-free subjects, plasma CETP correlated with HDL-C levels (r = 0.19, p < 0.0001), but not with cIMT variables. When stratified according to HDL-C quartiles, CETP positively correlated with cIMTmax and cIMTmean–max, but not with PF CC-IMTmean, in the top HDL-C quartile only. Positive associations between the CETP concentration and cIMTmax or cIMTmean–max were found in the top HDL-C quartile, whereas HDL-C levels were negatively correlated with cIMTmax and cIMTmean–max when the CETP concentration was below the median (HDL-C × CETP interaction, p = 0.001 and p = 0.003 for cIMTmax and cIMTmean–max, respectively). In the full cohort, three CETP SNPs (rs34760410, rs12920974, rs12708968) were positively associated with cIMTmax. rs12444708 exhibited a significant interaction with HDL-C levels in the prediction of cIMTmax. In conclusion, a significant interplay was found between plasma CETP and/or CETP genotype and HDL-C in the prediction of carotid plaque thickness, as indexed by cIMTmax. This suggests that the association of HDL-C with carotid atherosclerosis is CETP-dependent.