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Calcium ions (Ca2+) are major messengers in cell signaling, impacting nearly every aspect of cellular life. Those signals are generated within a wide spatial and temporal range through a large variety of Ca2+ channels, pumps, and exchangers. More and more evidences suggest that Ca2+ exchanges are regulated by their surrounding lipid environment. In this review, we point out the technical challenges that are currently being overcome and those that still need to be defeated to analyze the Ca2+ transport protein−lipid interactions. We then provide evidences for the modulation of Ca2+ transport proteins by lipids, including cholesterol, acidic phospholipids, sphingolipids, and their metabolites. We also integrate documented mechanisms involved in the regulation of Ca2+ transport proteins by the lipid environment. Those include: (i) Direct interaction inside the protein with non-annular lipids; (ii) close interaction with the first shell of annular lipids; (iii) regulation of membrane biophysical properties (e.g., membrane lipid packing, thickness, and curvature) directly around the protein through annular lipids; and (iv) gathering and downstream signaling of several proteins inside lipid domains. We finally discuss recent reports supporting the related alteration of Ca2+ and lipids in different pathophysiological events and the possibility to target lipids in Ca2+-related diseases.