The main sponge cake ingredients are flour, sucrose, eggs and leavening agents. Exogenous lipids (e.g., monoacylglycerols) are often used to increase air–liquid interface stability in the batter. There is a consumer trend to avoid foods containing such additives. We here reasoned that egg yolk may be an alternative source of surface-active lipids and set out to study the role of egg yolk lipids during sponge cake making. This was done by relocating or removing them prior to batter preparation using ethanol treatments and examining how this affects cake (batter) properties and structure setting during baking. Most egg yolk lipids occur within spherical low-density lipoproteins (LDLs) which were disintegrated by the ethanol treatments. Results showed that egg yolk lipids impact air–liquid interface stability and less so cake structure setting. To prepare high-quality sponge cakes by multistage mixing preferably intact LDLs or, alternatively, their components are needed to incorporate sufficient air during mixing and to stabilize it after mixing. It was also shown that the batter contains intact LDLs in the continuous phase and disintegrated LDLs at air–liquid interfaces. Sponge cake contains intact LDLs in the cake matrix, disintegrated LDLs at air–crumb interfaces and disintegrated LDLs incorporated into the protein network.