Regular exercise, especially aerobic exercise, is beneficial for increasing serum high-density lipoprotein-cholesterol (HDL-C) levels in the general population. In addition to the HDL-C quantity, exercise enhances HDL functionality, antioxidants, and cholesterol efflux. On the other hand, the optimal intensity and frequency of exercise to increase HDL quantity and enhance HDL quality in middle-aged women need to be determined. The current study was designed to compare the changes in HDL quantity and quality among middle-aged women depending on exercise intensity, frequency, and duration; participants were divided into a sedentary group (group 1), a middle-intensity group (group 2), and a high-intensity group (group 3). There were no differences in anthropometric parameters among the groups, including blood pressure, muscle mass, and handgrip strength. Although there was no difference in serum total cholesterol (TC) among the groups, the serum HDL-C and apolipoprotein (apo)A-I levels remarkably increased to 17% and 12%, respectively, in group 3. Serum low-density lipoprotein-cholesterol (LDL-C), glucose, triglyceride, and the apo-B/apoA-I ratio were remarkably decreased in the exercise groups depending on the exercise intensity; group 3 showed 13%, 10%, and 45% lower LDL-C, glucose, and triglyceride (TG), respectively, than group 1. The hepatic and muscle damage parameter, aspartate aminotransferase (AST), was significantly decreased in the exercise groups, but high-sensitivity C-reactive protein (CRP), alanine aminotransferase (ALT), and γ-glutamyl transferase (γ-GTP) were similar in the three groups. In LDL, the particle size was increased 1.5-fold (p < 0.001), and the oxidation extent was decreased by 40% with a 23% lower TG content in group 3 than in group 1. In the exercise groups (groups 2 and 3), LDL showed the slowest electromobility with a distinct band intensity compared to the sedentary group (group 1). In HDL2, the particle size was 2.1-fold increased (p < 0.001) in the exercise group (group 3) with a 1.5-fold increase in TC content compared to that in group 1, as well as significantly enhanced antioxidant abilities, paraoxonase (PON) activity, and ferric ion reduction ability (FRA). In HDL3, the particle size was increased 1.2-fold with a 45% reduction in TG in group 3 compared to group 1. With increasing exercise intensity, apoA-I expression was increased in HDL2 and HDL3, and PON activity and FRA were enhanced (p < 0.001). In conclusion, regular exercise in middle-aged women is associated with the elevation of serum HDL-C and apoA-I with the enhancement of HDL quality and functionality and an increase in the TC content, particle size, and antioxidant abilities. With the reduction in TG and oxidized products in LDL and HDL, lipoproteins could have more anti-atherogenic properties through regular exercise in an intensity-dependent manner.