High-density lipoproteins (HDLs) are considered antiatherogenic because they mediate reverse cholesterol transport from the periphery to the liver for excretion and degradation. Here we show that mice deficient in apolipoprotein M (apoM), a component of the HDL particle, accumulated cholesterol in large HDL particles (HDL₁) while the conversion of HDL to preβ-HDL was impaired. Accordingly, apoM-deficient mice lacked preβ-HDL, a subclass of lipid-poor apolipoproteins that serves as a key acceptor of peripheral cellular cholesterol. This deficiency led to a markedly reduced cholesterol efflux from macrophages to apoM-deficient HDL compared to normal HDL in vitro. Overexpression of apoM in Ldlr^−/− mice protected against atherosclerosis when the mice were challenged with a cholesterol-enriched diet, showing that apoM is important for the formation of preβ-HDL and cholesterol efflux to HDL, and thereby inhibits formation of atherosclerotic lesions.