The high mobility group (HMG) proteins, including HMGA, HMGB and HMGN, are abundant and ubiquitous nuclear proteins that bind to DNA, nucleosome and other multi-protein complexes in a dynamic and reversible fashion to regulate DNA processing in the context of chromatin. All HMG proteins, like histone proteins, are subjected to extensive post-translational modifications (PTMs), such as lysine acetylation, arginine/lysine methylation and serine/threonine phosphorylation, to modulate their interactions with DNA and other proteins. There is a growing appreciation for the complex relationship between the PTMs of HMG proteins and their diverse biological activities. Here, we reviewed the identified covalent modifications of HMG proteins, and highlighted how these PTMs affect the functions of HMG proteins in a variety of cellular processes.