High-density lipoproteins (HDL) are a heterogeneous class of molecules whose main function is to remove excess cholesterol through a mechanism called reverse transport, in which cholesterol is transported from peripheral organs and from arterial foam cells to the liver, where it is subsequently eliminated with bile. While its ability to eliminate excess cholesterol has always been viewed as its main feature, its beneficial effects go beyond this single effect. Many of the proteins that are associated with HDL are responsible for anti-oxidant and anti-inflammatory properties. These proteins that are associated with HDL during its generation and remodelling, are referred to as 'protein cargo', which has been extensively analysed by mass spectrometry analysis in healthy and diseased individuals. In this review, we discuss the pathway that leads to HDL formation and its subsequent remodelling and catabolism with regards to the possible involvement of HDL 'protein cargo' in Alzheimer's disease.