The associations of HDL particle (HDL-P) and subspecies concentrations with alcohol consumption are unclear. We aimed to evaluate the interplay between alcohol consumption, HDL parameters and cardiovascular disease (CVD) risk. In the PREVEND study of 5151 participants (mean age, 53 years; 47.5% males), self-reported alcohol consumption and HDL-P and subspecies (small, medium, and large) by nuclear magnetic resonance spectroscopy were assessed. Hazard ratios (HRs) with 95% CIs for first CVD events were estimated. In multivariable linear regression analyses, increasing alcohol consumption increased HDL-C, HDL-P, large and medium HDL, HDL size, and HDL subspecies (H3P, H4P, H6 and H7) in a dose-dependent manner. During a median follow-up of 8.3 years, 323 first CVD events were recorded. Compared with abstainers, the multivariable adjusted HRs (95% CIs) of CVD for occasional to light, moderate, and heavy alcohol consumers were 0.72 (0.55-0.94), 0.74 (0.54-1.02), and 0.65 (0.38-1.09), respectively. These associations remained consistent on additional adjustment for each HDL parameter. For CVD, only HDL-C was associated with a statistically significant decreased risk of CVD in a fully adjusted analysis (HR 0.84, 95% CI 0.72-0.97 per 1 SD increment). For coronary heart disease, HDL-C, HDL-P, medium HDL, HDL size, and H4P showed inverse associations, whereas HDL-C and HDL size modestly increased stroke risk. Except for H6P, alcohol consumption did not modify the associations between HDL parameters and CVD risk. The addition of HDL-C, HDL size, or H4P to a CVD risk prediction model containing established risk factors improved risk discrimination. Increasing alcohol consumption is associated with increased HDL-C, HDL-P, large and medium HDL, HDL size, and some HDL subspecies. Associations of alcohol consumption with CVD are largely independent of HDL parameters. The associations of HDL parameters with incident CVD are generally not attenuated or modified by alcohol consumption.