Background: Cholesterol Efflux Capacity (CEC) is considered to be a key atheroprotective property of high-density lipoproteins (HDL). However, the role of HDL-CEC in atherosclerosis and cardiovascular (CV) risk is still controversial, and data in individuals with diabetes are limited. Objective: In this study, we have investigated the relationship of CEC and other HDL characteristics with clinical and subclinical atherosclerosis in subjects with elevated cardiovascular diseases (CVD) risk and Type 2 Diabetes Mellitus (T2DM). Methods: Using multiple linear regression analyses, we determined the relationship of HDL-CEC with carotid intima-media thickness (cIMT, Z-Score), an endothelial dysfunction (EnD) Score (Z-Score), prevalent CVD (n = 150 cases) and history of CV events (CVE, n = 85 cases) in an observational cohort (CODAM, n = 574, 59.6 ± 0.3 yr, 61.3% men, 24.4% T2DM). Stratified analyses were performed to determine if the associations differed between individuals with normal glucose metabolism (NGM) and those with disturbed glucose metabolism. Results: HDL-CEC was not associated with either marker of atherosclerosis (cIMT, EnD Score) nor with CVD or CVE. In contrast, other HDL characteristics that is, HDL-Cholesterol (HDL-C, Z-Score), apolipoprotein A-I (apoA-I, Z-Score), HDL size (Z-Score) and HDL particle number (HDL-P, Z-Score) were inversely and significantly associated with the EnD Score (s −0.226 to −0.097, P < .05) and CVE (ORs 0.61 to 0.68, P < .05). In stratified analyses, HDL size and HDL-P were significantly associated with the EnD Score in individuals with NGM (Pinteraction .039 and .005, respectively), but not in those with (pre)diabetes. HDL-C and apoA-I were inversely associated with prevalent CVD in individuals with (pre)diabetes (Pinteraction = .074 and .034, respectively), but not in those with NGM. Conclusion: HDL-CEC is not associated with clinical or subclinical atherosclerosis, neither in the whole population nor in individuals with (pre)diabetes, while other HDL characteristics show atheroprotective associations. The atheroprotective associations of HDL-size and HDL-P are lost in (pre)diabetes, while higher concentrations of HDL-C and apoA-I are associated with a lower prevalence of CVD in (pre)diabetes.