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Cigarette smoking is a major independent risk factor for cardiovascular diseases (CVD). The underlying mechanisms, however, are not clearly understood. Lungs are the primary route of exposure to smoke, with pulmonary cells and surfactant being the first structures directly exposed, resulting in the leakage of the immature proteoform of surfactant protein B (proSP-B). Herein, we evaluated whether proSP-B joined the cargo of high-density lipoprotein (HDL) proteins in healthy young subjects (<i>n</i> = 106) without any CVD risk factor other than smoking, and if HDL-associated proSP-B (HDL-SPB) correlated with pulmonary function parameters, systemic inflammation, and oxidative stress. At univariable analysis, HDL-SPB resulted significantly higher in smokers (2.2-fold, <i>p</i> < 0.001) than in non-smokers. No significant differences have been detected between smokers and non-smokers for inflammation, oxidation variables, and alveolar-capillary diffusion markers. In a multivariable model, HDL-SPB was independently associated with smoking. In conclusion, HDL-SPB is not only a precocious and sensitive index of the acute effects of smoke, but it might be also a potential causal factor in the onset of the vascular damage induced by modified HDL. These findings contribute to the emerging concept that the quality of the HDL proteome, rather than the quantity of particles, plays a central role in CVD risk protection.