Inflammation and oxidative stress are essential components in a myriad of pathogenic entities that lead to metabolic and chronic diseases. Moreover, inflammation in its different phases is necessary for the initiation and maintenance of a healthy pregnancy. Therefore, an equilibrium between a necessary/pathologic level of inflammation and oxidative stress during pregnancy is needed to avoid disease development. High-density lipoproteins (HDL) are important for a healthy pregnancy and a good neonatal outcome. Their role in fetal development during challenging situations is vital for maintaining the equilibrium. However, in certain conditions, such as obesity, diabetes, and other cardiovascular diseases, it has been observed that HDL loses its protective properties, becoming dysfunctional. Bioactive compounds have been widely studied as mediators of inflammation and oxidative stress in different diseases, but their mechanisms of action are still unknown. Nonetheless, these agents, which are obtained from functional foods, increase the concentration of HDL, TRC, and antioxidant activity. Therefore, this review first summarizes several mechanisms of HDL participation in the equilibrium between inflammation and oxidative stress. Second, it gives an insight into how HDL may act as a vector for bioactive compounds. Third, it describes the relationships between the inflammation process in pregnancy and HDL activity. Consequently, different databases were used, including MEDLINE, PubMed, and Scopus, where scientific articles published in the English language up to 2023 were identified.