Results of longitudinal researches regarding the temporal relationship between dyslipidemia and insulin resistance (IR) are inconsistent. This study assessed temporal relationships of blood lipids with IR and determined whether there are any mediating effects existed in these temporal relationships. This study examined a longitudinal cohort of 3325 subjects aged 20–74 years from China with an average of 4.2 years follow-up. Measurements of fasting blood lipids, as well as fasting and 2-h serum glucose and insulin, were obtained at two time points. The Gutt index and HOMA-IR were calculated as indicators of peripheral IR and hepatic IR. A cross-lagged path analysis was performed to examine the temporal relationships between blood lipids and IR. A mediation analysis was used to examine mediating effect. After adjusting for covariates, the cross-lagged path coefficients from baseline TG and HDL-C to follow-up Gutt index were significantly greater than those from baseline Gutt index to follow-up TG and HDL-C (β1 = −0.131 vs β2 = −0.047, P < 0.001 for TG; β1 = 0.134 vs β2 = 0.023, P < 0.001 for HDL-C). The path coefficients from baseline TG and HDL-C to follow-up 2-h insulin were significantly greater than those from baseline 2-h insulin to follow-up TG and HDL-C (β1 = 0.125 vs β2 = 0.040, P < 0.001 for TG; β1 = −0.112 vs β2 = −0.026, P < 0.001 for HDL-C). 2-h insulin partially mediated the effect of TG/HDL-C on Gutt index with a 59.3% mediating effect for TG and 61.0% for HDL-C. These findings provide strong evidence that dyslipidemia probably precede peripheral IR and that 2-h insulin partially mediates this unidirectional temporal relationship.