The effects of regular physical activity on two important anti-atherosclerosis functions of high-density lipoprotein (HDL), namely its capacity to receive both forms of cholesterol and its anti-oxidant function, were investigated in this study comparing older adults with young individuals. One-hundred and eight healthy adult individuals were enrolled and separated into the following groups: active older (60–80 yrs, n = 24); inactive older (60–79 yrs, n = 21); active young (20–34 yrs, n = 39); and inactive young (20–35 yrs, n = 24). All performed cardiopulmonary tests. Blood samples were collected in order to assess the following measures: lipid profile, HDL anti-oxidant capacity, paraoxonase-1 activity, HDL subfractions, and lipid transfer to HDL. Comparing active older and active young groups with inactive older and inactive young groups, respectively, the active groups presented higher HDL-C levels (p < 0.01 for both comparisons), unesterified cholesterol transfer (p < 0.01, p < 0.05), and intermediate and larger HDL subfractions (p < 0.001, p < 0.01) than the respective inactive groups. In addition, the active young group showed higher esterified cholesterol transfer than the inactive young group (p < 0.05). As expected, the two active groups had higher VO₂peak than the inactive groups; VO₂peak was higher in the two younger than in the two older groups (p < 0.05). No differences in unesterified and esterified cholesterol transfers and HDL subfractions were found between active young and active older groups. HDL anti-oxidant capacity and paraoxonase-1 activity were equal in all four study groups. Our data highlight and strengthen the benefits of regular practice of physical activity on an important HDL function, the capacity of HDL to receive cholesterol, despite the age-dependent decrease in VO₂peak.