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Objectives The NLRP3 inflammasome plays a key role in arterial wall inflammation. In this study, we elucidated the role of serum lipoproteins in the regulation of NLRP3 inflammasome activation by serum amyloid A (SAA) and other inflammasome activators. Methods The effect of lipoproteins on the NLRP3 inflammasome activation was studied in primary human macrophages and THP‐1 macrophages. The effect of oxidised low‐density lipoprotein (LDL) was examined in an in vivo mouse model of SAA‐induced peritoneal inflammation. Results Native and oxidised high‐density lipoproteins (HDL3) and LDLs inhibited the interaction of SAA with TLR4. HDL3 and LDL inhibited the secretion of interleukin (IL)‐1β and tumor necrosis factor by reducing their transcription. Oxidised forms of these lipoproteins reduced the secretion of mature IL‐1β also by inhibiting the activation of NLRP3 inflammasome induced by SAA, ATP, nigericin and monosodium urate crystals. Specifically, oxidised LDL was found to inhibit the inflammasome complex formation. No cellular uptake of lipoproteins was required, nor intact lipoprotein particles for the inhibitory effect, as the lipid fraction of oxidised LDL was sufficient. The inhibition of NLRP3 inflammasome activation by oxidised LDL was partially dependent on autophagy. Finally, oxidised LDL inhibited the SAA‐induced peritoneal inflammation and IL‐1β secretion in vivo. Conclusions These findings reveal that both HDL3 and LDL inhibit the proinflammatory activity of SAA and this inhibition is further enhanced by lipoprotein oxidation. Thus, lipoproteins possess major anti‐inflammatory functions that hinder the NLRP3 inflammasome‐activating signals, particularly those exerted by SAA, which has important implications in the pathogenesis of cardiovascular diseases., In this study, we found that both low‐ (LDL) and high‐density lipoproteins (HDL3) hinder the binding of serum amyloid A (SAA) to Toll‐like receptor 4 (TLR4), which prevents SAA from activating the NLRP3 inflammasome. We further observed that native lipoproteins exert their inhibitory action on the level of inflammasome priming, but lipoprotein oxidation blocks also the NLRP3 inflammasome activation by inhibiting the complex assembly and by increasing basal autophagy. In the presence of NLRP3 inflammasome‐activating stimuli, oxidised lipoproteins possess major anti‐inflammatory functions.