High-density lipoprotein (HDL) is a group of small, dense, and protein-rich lipoproteins that play a role in cholesterol metabolism and various cellular processes. Decreased levels of HDL and HDL dysfunction are commonly observed in individuals with type 2 diabetes mellitus (T2DM), which is also associated with an increased risk for cardiovascular disease (CVD). Due to hyperglycemia, oxidative stress, and inflammation that develop in T2DM, HDL undergoes several post-translational modifications such as glycation, oxidation, and carbamylation, as well as other alterations in its lipid and protein composition. It is increasingly recognized that the generation of HDL modifications in T2DM seems to be the main cause of HDL dysfunction and may in turn influence the development and progression of T2DM and its related cardiovascular complications. This review provides a general introduction to HDL structure and function and summarizes the main modifications of HDL that occur in T2DM. Furthermore, the potential impact of HDL modifications on the pathogenesis of T2DM and CVD, based on the altered interactions between modified HDL and various cell types that are involved in glucose homeostasis and atherosclerotic plaque generation, will be discussed. In addition, some perspectives for future research regarding the T2DM-related HDL modifications are addressed.