Increased levels of high-density lipoprotein cholesterol (HDL-C) can improve endothelial function. This may help reduce cardiovascular risks and mortality. Evidence has been provided on the association between cardiometabolic traits, such as HDL-C and exercise modalities. However, there is the absence of studies investigating this association in Taiwan. We assessed the relationship between exercise type and HDL-C among Taiwanese adults. Data were collected from Taiwan Biobank (TWB), a national biomedical research database that contains the genetic information of ethnic Taiwanese residents gathered from 2008 to 2016. We enrolled 24,856 participants aged 30 to 70 years who completed a questionnaire about their recent health behaviors including smoking, drinking, and exercise. Regular exercise was categorized as non-aerobic exercise (separated as weight training, ball game, and mixed exercise) and strict aerobic exercise. Linear regression models were used to assess the effects of exercise in a questionnaire-based manner. After multivariate adjustments, HDL-C was positively associated with aerobic (β = 1.33748, p < 0.0001) and non-aerobic (β = 2.56210; p < 0.0001) exercise. Positive associations were also found for resistance training (β = 4.01828, p = 0.0020), ballgame (β = 2.43815, p = 0.0001), and mixed exercise (β = 2.47021, p < 0.0001). This study demonstrated that both aerobic and non-aerobic exercise have positive effects on HDL-C among Taiwanese adults. Among the non-aerobic exercise groups, resistance training had the greatest effect.