High-density lipoproteins (HDLs) are a class of blood particles, principally involved in mediating reverse cholesterol transport from peripheral tissue to liver. Omics approaches have identified crucial mediators in the HDL proteomic and lipidomic profile, which are involved in distinct pleiotropic functions. Besides their role as cholesterol transporter, HDLs display anti-inflammatory, anti-apoptotic, anti-thrombotic, and anti-infection properties. Experimental and clinical studies have unveiled significant changes in both HDL serum amount and composition that lead to dysregulated host immune response and endothelial dysfunction in the course of sepsis. Most SARS-Coronavirus-2-infected patients admitted to the intensive care unit showed common features of sepsis disease, such as the overwhelmed systemic inflammatory response and the alterations in serum lipid profile. Despite relevant advances, episodes of mild to moderate acute kidney injury (AKI), occurring during systemic inflammatory diseases, are associated with long-term complications, and high risk of mortality. The multi-faceted relationship of kidney dysfunction with dyslipidemia and inflammation encourages to deepen the clarification of the mechanisms connecting these elements. This review analyzes the multifaced roles of HDL in inflammatory diseases, the renal involvement in lipid metabolism, and the novel potential HDL-based therapies.