Low-density lipoprotein (LDL) deposition, aggregation and retention in the endothelial sub-intima are critical initiating events during atherosclerosis. Macrophages digest aggregated LDL (agLDL) through a process called exophagy. High-density lipoprotein (HDL) plays an atheroprotective role, but studies attempting to exploit it therapeutically have been unsuccessful, highlighting gaps in our current understanding of HDL function. Here, we characterized the role of HDL during exophagy of agLDL. We find that atherosclerotic plaque macrophages contact agLDL and form an extracellular digestive compartment similar to that observed in vitro During macrophage catabolism of agLDL in vitro, levels of free cholesterol in the agLDL are increased. HDL can extract free cholesterol directly from this agLDL and inhibit macrophage foam cell formation. Cholesterol-balanced hydroxypropyl-β-cyclodextrin similarly reduced macrophage cholesterol uptake and foam cell formation. Finally, we show that HDL can directly extract free cholesterol, but not cholesterol esters, from agLDL in the absence of cells. Together, these results suggest that the actions of HDL can directly extract free cholesterol from agLDL during catabolism, and provide a new context in which to view the complex relationship between HDL and atherosclerosis.