The association between high-density lipoprotein cholesterol (HDL-C) and cardiovascular disease (CVD) is controversial. HDL-C is one content type of high-density lipoprotein (HDL). HDL consists of diverse proteins and lipids and can be classified into different subclasses based on size, shape, charge, and density, and can change dynamically in disease states. Therefore, HDL-C levels alone cannot represent HDLs’ cardioprotective role. In this review, we summarized the methods for separating HDL subclasses, the studies on the association between HDL subclasses and cardiovascular risk (CVR), and the impact of lipid-modifying medications and nonpharmacological approaches (exercise training, dietary omega fatty acids, and low-density lipoprotein apheresis) on HDL subclasses. As HDL is a natural nanoplatform, recombinant HDLs (rHDLs) have been used as a delivery system in vivo by loading small interfering RNA, drugs, contrast agents, etc. Therefore, we further reviewed the HDL subclasses used in rHDLs and their advantages and disadvantages. This review would provide recommendations and guidance for future studies on HDL subclasses’ cardioprotective roles.