The goal of this systematic review was to assess the current understanding of the effects of exercise intervention on high-density lipoprotein (HDL) cholesterol (HDL-C) and changes in HDL function as well as modification of these effects by genomic factors. The reviewed studies demonstrate that exercise has modest effects on HDL-C with limited data suggesting an effect on HDL function. Genetic polymorphisms in proteins associated with HDL metabolism play a role in modifying the HDL-C response to exercise and possibly its function. Exercise as an intervention for patients at risk for cardiovascular events can lead to small improvements in HDL-C and potential changes in HDL function. There is an important modifier effect of genetics in determining these changes.