Background: Semaglutide is a recently approved glucagon-like peptide-1 receptor agonist. Several trials reported the protective effect of injectable semaglutide on cardiovascular (CV) risk by reducing major adverse cardiovascular events in type 2 diabetes patients. Strong preclinical evidence supports the CV benefits of semaglutide through an effect on atherosclerosis. However, scant evidence is available about the protective mechanisms of semaglutide in clinical practice. Methods: A retrospective observational study was conducted among consecutive type 2 diabetes patients treated with injectable semaglutide in Italy between November 2019 and January 2021 when the drug was first available in the country. The primary aims were the assessment of the carotid intima-media thickness (cIMT) and hemoglobin A1c (HbA1c) levels. The secondary aims were the evaluation of anthropometric, glycemic, and hepatic parameters and plasma lipids, including the assessment of the triglyceride/high-density lipoprotein ratio as an indirect marker of atherogenic small, dense low-density lipoprotein particles. Results: Injectable semaglutide reduced HbA1c and cIMT. An improvement in CV risk factors and the triglyceride/high-density lipoprotein ratio was reported. Moreover, through correlation analyses, we found that hepatic fibrosis and steatosis indices and the anthropometric, hepatic, and glycemic parameters, as well as plasma lipids, were unrelated to the variations in cIMT and HbA1c. Conclusions: Our findings suggest the effect of injectable semaglutide on atherosclerosis as a key CV protective mechanism. Considering the favorable effects on atherogenic lipoproteins and hepatic steatosis indices, our results support the pleiotropic effect of semaglutide beyond glycemic control.