Functional assessment of cholesterol efflux capacity (CEC) to high-density lipoprotein (HDL) is an emerging tool for evaluating morbidity and mortality associated with cardiovascular disease (CVD). By promoting macrophage reverse cholesterol transport (RCT), HDL-mediated CEC is believed to play an important role in atherosclerotic lesion progression in the vessel wall. Furthermore, recent evidence indicates that the typical inverse associations between various forms of CEC and CV events may be strongly modulated by environmental systemic factors and traditional CV risk factors, in addition to autoimmune diseases. These factors influence the complex and dynamic composition of HDL particles, which in turn positively or negatively affect HDL-CEC. Herein, we review recent findings connecting HDL-CEC to traditional CV risk factors and cardiometabolic conditions (non-autoimmune diseases) as well as autoimmune diseases, with a specific focus on how these factors may influence the associations between HDL-CEC and CVD risk.