Metabolic processes and environmental conditions cause the constant formation of oxidizing species over the lifetime of cells and organisms. This leads to a continuous oxidation of intracellular components, including lipids, DNA and proteins. During the extensively studied process of lipid peroxidation, several reactive low-molecular weight products are formed, including reactive aldehydes as 4-hydroxynonenal (HNE). These aldehydic lipid peroxidation products in turn are able to modify proteins. The degradation of oxidized and oxidatively modified proteins is an essential part of the oxidant defenses of cells. The major proteolytic system responsible for the removal of oxidized cytosolic and nuclear proteins is the proteasomal system. The proteasomal system by itself is a multicomponent system responsible for the degradation of the majority of intracellular proteins. It has been shown that some, mildly cross-linked, HNE-modified proteins are preferentially degraded by the proteasome, but extensive modification with this cross-linking aldehyde leads to the formation of protein aggregates, that can actually inhibit the proteasome. This review summarizes our knowledge of the interactions between lipid peroxidation products, proteins, and the proteasomal system.