Blood lipids are causally involved in the pathogenesis of atherosclerosis, but their role in cerebral small vessel disease remains largely elusive. Here, we explored associations of genetic determinants of blood lipid levels, lipoprotein particle components, and targets for lipid-modifying drugs with small vessel disease phenotypes. We selected genetic instruments for blood levels of high-density lipoprotein cholesterol (HDL-C), low-density lipoprotein cholesterol (LDL-C), and triglycerides, for cholesterol and triglycerides components of size-defined lipoprotein particles, and for lipid-modifying drug targets based on published genome-wide association studies (up to 617 303 individuals). Applying two-sample Mendelian randomization approaches we investigated associations with ischaemic and haemorrhagic manifestations of small vessel disease [small vessel stroke: 11 710 cases, 287 067 controls; white matter hyperintensities (WMH): 10 597 individuals; intracerebral haemorrhage: 1545 cases, 1481 controls]. We applied the inverse-variance weighted method and multivariable Mendelian randomization as our main analytical approaches. Genetic predisposition to higher HDL-C levels was associated with lower risk of small vessel stroke [odds ratio (OR) per standard deviation = 0.85, 95% confidence interval (CI) = 0.78-0.92] and lower WMH volume (β = -0.07, 95% CI = -0.12 to -0.02), which in multivariable Mendelian randomization remained stable after adjustments for LDL-C and triglycerides. In analyses of lipoprotein particle components by size, we found these effects to be specific for cholesterol concentration in medium-sized high-density lipoprotein, and not large or extra-large high-density lipoprotein particles. Association estimates for intracerebral haemorrhage were negatively correlated with those for small vessel stroke and WMH volume across all lipid traits and lipoprotein particle components. HDL-C raising genetic variants in the gene locus of the target of CETP inhibitors were associated with lower risk of small vessel stroke (OR: 0.82, 95% CI = 0.75-0.89) and lower WMH volume (β = -0.08, 95% CI = -0.13 to -0.02), but a higher risk of intracerebral haemorrhage (OR: 1.64, 95% CI = 1.26-2.13). Genetic predisposition to higher HDL-C, specifically to cholesterol in medium-sized high-density lipoprotein particles, is associated with both a lower risk of small vessel stroke and lower WMH volume. These analyses indicate that HDL-C raising strategies could be considered for the prevention of ischaemic small vessel disease but the net benefit of such an approach would need to be tested in a randomized controlled trial.