The accelerated atherosclerosis that occurs in some patients with systemic lupus erythematosus (SLE) has a complex pathogenesis, including alterations in lipids, inflammation and the immune system. In this article, we review the evidence that peroxidase-related alteration of normal, protective high-density lipoprotein (HDL) converts them to pro-inflammatory HDL (piHDL), characterized by lower content of the cholesterol transport lipoprotein ApoA1 and impaired function of the antioxidant enzyme paroxonase, which prevents oxidation of low-density lipoprotein (LDL). Forty-five per cent of women with SLE have piHDL compared with 20% of patients with rheumatoid arthritis and 4% of healthy controls. The presence of piHDL increases risk for coronary artery events and carotid artery plaque. Another result of lipid oxidation in patients with SLE is generation of highly oxidized LDL and phospholipids (PL), probably stimulating antibodies to OxPL phospholipids. These antibodies along with promoting thrombosis also interfere with deposits of Annexin V onto endothelial cells, which probably promote increased instability of atherosclerotic plaque. Thus, piHDL and anti-OxPL promote plaque formation, plaque instability and thrombosis, accounting for some of the large increase in atherosclerosis and coronary artery events in SLE.