The association between high-density lipoprotein (HDL) cholesterol and breast cancer (BC) remains controversial due to the high complexity of the HDL particle and its functionality. The HDL proteome was determined in newly diagnosed BC classified according to the molecular type [luminal A or B (LA or LB), HER2, and triple-negative (TN)] and clinical stage of the disease. Women (n = 141) aged between 18 and 80 years with BC, treatment-naïve, and healthy women [n = 103; control group (CT)], matched by age and body mass index, were included. Data-independent acquisition (DIA) proteomics was performed in isolated HDL (D = 1.063-1.21 g/mL). Results: Paraoxonase1, carnosine dipeptidase1, immunoglobulin mMu heavy chain constant region (IGHM), apoA-4, and transthyretin were reduced, and serum amyloid A2 and tetranectin were higher in BC compared to CT. In TNBC, apoA-1, apoA-2, apoC-2, and apoC-4 were reduced compared to LA, LB, and HER2, and apoA-4 compared to LA and HER2. ComplementC3, lambda immunoglobulin2/3, serpin3, IGHM, complement9, alpha2 lysine rich-glycoprotein1, and complement4B were higher in TNBC in comparison to all other types; complement factor B and vitamin D-binding protein were in contrast to LA and HER2, and plasminogen compared to LA and LB. In grouped stages III + IV, tetranectin and alpha2-macroglobulin were reduced, and haptoglobin-related protein; lecithin cholesterol acyltransferase, serum amyloid A1, and IGHM were increased compared to stages I + II. Conclusions: A differential proteomic profile of HDL in BC based on tumor molecular classification and the clinical stage of the disease may contribute to a better understanding of the association of HDL with BC pathophysiology, treatment, and outcomes.