The prevalence of type 2 diabetes mellitus and of the metabolic syndrome is rising worldwide and reaching epidemic proportions. These pathologies are associated with significant morbidity and mortality, in particular with an excess of cardiovascular deaths. Type 2 diabetes mellitus and the cluster of pathologies including insulin resistance, central obesity, high blood pressure, and hypertriglyceridemia that constitute the metabolic syndrome are associated with low levels of HDL cholesterol and the presence of dysfunctional HDLs. We here review the epidemiological evidence and the potential underlying mechanisms of this association. We first discuss the well-established association of type 2 diabetes mellitus and insulin resistance with alterations of lipid metabolism and how these alterations may lead to low levels of HDL cholesterol and the occurrence of dysfunctional HDLs. We then present and discuss the evidence showing that HDL modulates insulin sensitivity, insulin-independent glucose uptake, insulin secretion, and beta cell survival. A dysfunction in these actions could play a direct role in the pathogenesis of type 2 diabetes mellitus.