Dyslipidemia is frequently observed in HIV-infected patients. Its pathogenesis is complex and includes factors related to the virus, the host, and antiretroviral treatment. Dyslipidemia is a main cardiovascular risk factor and it is partially modifiable. Whereas HIV infection and its treatment are associated with a state of accelerated atherosclerosis and an increase in the number of cases of myocardial infarction, dyslipidemia management must be a priority in the clinical care of patients with HIV infection. In this review, we discuss the major pathogenic mechanisms of dyslipidemia associated with antiretroviral therapy and the effect of the currently used drugs on the lipid profile. The current recommendations for dyslipidemia management include the control of other cardiovascular risk factors, the choice of antiretroviral drugs with a better lipid profile, and lipid-lowering drug use when clinically indicated.