Oxidized low‐density lipoproteins (oxLDL) exhibit proinflammatory properties and play a role in atherosclerosis plaque formation, rupture, and subsequent thrombosis. OxLDL alter the activity of the transcription factor NF‐κB that is involved in the expression of immune and inflammatory genes. In contrast, high‐density lipoproteins (HDL) are anti‐atherogenic and exhibit anti‐inflammatory properties. This work aimed to investigate how oxLDL activate NF‐κB and whether and how HDL may prevent NF‐κB activation. In cultured rabbit smooth muscle cells, mitogenic concentrations of mildly oxLDL trigger a rapid and transient NF‐κB activation, which is strongly inhibited by HDL. Growth factors, phosphatidylinositol 3‐kinase/Akt, and sphingosine kinase pathways are not implicated in the oxLDL‐induced NF‐κB activation and are not targets of HDL. OxLDL induce reactive oxygen species (ROS) generation and proteasome activation, which are implicated in NF‐κB activation, as suggested by the inhibitory effect of the antioxidants N‐acetyl‐L‐cysteine and pyrrolidinedithiocarbamate and the proteasome inhibitor PSI. HDL were able to prevent the intracellular ROS rise triggered by oxLDL or H2O2, thereby inhibiting the subsequent proteasome activation, IκB degradation, and NF‐κB activation. In conclusion, the oxLDL‐induced NF‐κB activation involves ROS generation and proteasome activation, both events being inhibited by HDL. This ‘antioxidant’ and potentially antiinflammatory effect of HDL may participate in their general anti‐atherogenic properties.