Reduced levels of high‐density lipoproteins (HDL) in non‐obese and obese states are associated with increased risk for the development of coronary artery disease. Therefore, it is imperative to determine the mechanisms responsible for reduced HDL in obese states and, conversely, to examine therapies aimed at increasing HDL levels in these individuals. This paper examines the multiple causes for reduced HDL in obese states and the effect of exercise and diet—two non‐pharmacologic therapies—on HDL metabolism in humans. In general, the concentration of HDL‐cholesterol is adversely altered in obesity, with HDL‐cholesterol levels associated with both the degree and distribution of obesity. More specifically, intra‐abdominal visceral fat deposition is an important negative correlate of HDL‐cholesterol. The specific subfractions of HDL that are altered in obese states include the HDL₂, apolipoprotein A‐I, and pre‐β₁ subfractions. Decreased HDL levels in obesity have been attributed to both an enhancement in the uptake of HDL₂ by adipocytes and an increase in the catabolism of apolipoprotein A‐I on HDL particles. In addition, there is a decrease in the conversion of the pre‐β₁ subfraction, the initial acceptor of cholesterol from peripheral cells, to pre‐β₂ particles. Conversely, as a means of reversing the decrease in HDL levels in obesity, sustained weight loss is an effective method. More specifically, weight loss achieved through exercise is more effective at raising HDL levels than dieting. Exercise mediates positive effects on HDL levels at least partly through changes in enzymes of HDL metabolism. Increased lipid transfer to HDL by lipoprotein lipase and reduced HDL clearance by hepatic triglyceride lipase as a result of endurance training are two important mechanisms for increases in HDL observed from exercise.