In clinical trials, inhibition of cholesteryl ester transfer protein (CETP) raises HDL cholesterol levels but does not robustly improve cardiovascular outcomes. Approximately two-thirds of trial participants are obese. Lower plasma CETP activity is associated with increased cardiovascular risk in human studies, and protective aspects of CETP have been observed in mice fed a high-fat diet (HFD) with regard to metabolic outcomes. To define whether CETP inhibition has different effects depending on the presence of obesity, we performed short-term anacetrapib treatment in chow- and HFD-fed CETP transgenic mice. Anacetrapib raised HDL cholesterol and improved aspects of HDL functionality, including reverse cholesterol transport, and HDL’s antioxidative capacity in HFD-fed mice was better than in chow-fed mice. Anacetrapib worsened the anti-inflammatory capacity of HDL in HFD-fed mice. The HDL proteome was markedly different with anacetrapib treatment in HFD- versus chow-fed mice. Despite benefits on HDL, anacetrapib led to liver triglyceride accumulation and insulin resistance in HFD-fed mice. Overall, our results support a physiologic importance of CETP in protecting from fatty liver and demonstrate context selectivity of CETP inhibition that might be important in obese subjects.