Lowered high-density lipoprotein (HDL) cholesterol has been reported in major depressive disorder, bipolar disorder, first episode of psychosis, and schizophrenia. HDL, its major apolipoprotein component, ApoA1, and the antioxidant enzyme paraoxonase (PON)1 (which is normally bound to ApoA1) all have anti-atherogenic, antioxidant, anti-inflammatory, and immunomodulatory roles, which are discussed in this paper. The paper details the pathways mediating the anti-inflammatory effects of HDL, ApoA1 and PON1 and describes the mechanisms leading to compromised HDL and PON1 levels and function in an environment of chronic inflammation. The molecular mechanisms by which changes in HDL, ApoA1 and PON1 might contribute to the pathophysiology of the neuroprogressive disorders are explained. Moreover, the anti-inflammatory actions of ApoM-mediated sphingosine 1-phosphate (S1P) signalling are reviewed as well as the deleterious effects of chronic inflammation and oxidative stress on ApoM/S1P signalling. Finally, therapeutic interventions specifically aimed at improving the levels and function of HDL and PON1 while reducing levels of inflammation and oxidative stress are considered. These include the so-called Mediterranean diet, extra virgin olive oil, polyphenols, flavonoids, isoflavones, pomegranate juice, melatonin and the Mediterranean diet combined with the ketogenic diet.