The association between plasma lipids and breast cancer (BC) has been extensively explored although results are still conflicting especially regarding the relationship with high-density lipoprotein cholesterol (HDLc) levels. HDL mediates cholesterol and oxysterol removal from cells limiting sterols necessary for tumor growth, inflammation, and metastasis and this may not be reflected by measuring HDLc. We addressed recently diagnosed, treatment-naïve BC women (n = 163), classified according to molecular types of tumors and clinical stages of the disease, in comparison to control women (CTR; n = 150) regarding plasma lipids and lipoproteins, HDL functionality and composition in lipids, oxysterols, and apo A-I. HDL was isolated by plasma discontinuous density gradient ultracentrifugation. Lipids (total cholesterol, TC; triglycerides, TG; and phospholipids, PL) were determined by enzymatic assays, apo A-I by immunoturbidimetry, and oxysterols (27, 25, and 24-hydroxycholesterol), by gas chromatography coupled with mass spectrometry. HDL-mediated cell cholesterol removal was determined in macrophages previously overloaded with cholesterol and14C-cholesterol. Lipid profile was similar between CTR and BC groups after adjustment per age. In the BC group, lower concentrations of TC (84%), TG (93%), PL (89%), and 27-hydroxicholesterol (61%) were observed in HDL, although the lipoprotein ability in removing cell cholesterol was similar to HDL from CRT. Triple-negative (TN) BC cases presented higher levels of TC, TG, apoB, and non-HDLc when compared to other molecular types. Impaired HDL functionality was observed in more advanced BC cases (stages III and IV), as cholesterol efflux was around 28% lower as compared to stages I and II. The altered lipid profile in TN cases may contribute to channeling lipids to tumor development in a hystotype with a more aggressive clinical history. Moreover, findings reinforce the dissociation between plasma levels of HDLc and HDL functionality in determining BC outcomes.