Small, dense low density lipoprotein (sdLDL) represents an emerging cardiovascular risk factor, since these particles can be associated with cardiovascular disease (CVD) independently of established risk factors, including plasma lipids. Obese subjects frequently have atherogenic dyslipidaemia, including elevated sdLDL levels, in addition to elevated triglycerides (TG), very low density lipoprotein (VLDL) and apolipoprotein-B, as well as decreased high density lipoprotein cholesterol (HDL-C) levels. Obesity-related co-morbidities, such as metabolic syndrome (MetS) are also characterized by dyslipidaemia. Therefore, agents that favourably modulate LDL subclasses may be of clinical value in these subjects. Statins are the lipid-lowering drug of choice. Also, anti-obesity and lipid lowering drugs other than statins could be useful in these patients. However, the effects of anti-obesity drugs on CVD risk factors remain unclear. We review the clinical significance of sdLDL in being overweight and obesity, as well as the efficacy of anti-obesity drugs on LDL subfractions in these individuals; a short comment on HDL subclasses is also included. Our literature search was based on PubMed and Scopus listings. Further research is required to fully explore both the significance of sdLDL and the efficacy of anti-obesity drugs on LDL subfractions in being overweight, obesity and MetS. Improving the lipoprotein profile in these patients may represent an efficient approach for reducing cardiovascular risk.