ABSTRACT Let $(M,I,J,K,\Omega)$ be a compact HKT manifold, and let us denote with $\partial$ the conjugate Dolbeault operator with respect to I, $\partial_J:=J^{-1}\overline\partial J$, $\partial^\Lambda:=[\partial,\Lambda]$, where Λ is the adjoint of $L:=\Omega\wedge-$. Under suitable assumptions, we study Hodge theory for the complexes $(A^{\bullet,0},\partial,\partial_J)$ and $(A^{\bullet,0},\partial,\partial^\Lambda)$ showing a similar behavior to Kähler manifolds. In particular, several relations among the Laplacians, the spaces of harmonic forms and the associated cohomology groups, together with Hard Lefschetz properties, are proved. Moreover, we show that for a compact HKT $\mathrm{SL}(n,\mathbb{H})$-manifold, the differential graded algebra $(A^{\bullet,0},\partial)$ is formal and this will lead to an obstruction for the existence of an HKT $\mathrm{SL}(n,\mathbb{H})$ structure $(I,J,K,\Omega)$ on a compact complex manifold (M, I). Finally, balanced HKT structures on solvmanifolds are studied.