A reduced incidence of cardiovascular events has been linked to high-density lipoprotein (HDL), with patient prognosis additionally shaped by its functional properties. While physical training is a vital measure for improving outcomes in the post-infarction (MI) cohort, the extent to which exercise modulates HDL function remains poorly defined. Sixty-two individuals suffering from acute MI were allocated at random to either a 12–14 week supervised exercise regimen (exercise group—EG) or a control condition (CG). The central goal of the investigation was to assess the impact of exercise on the movement of esterified cholesterol (EC) and unesterified cholesterol (UC) into HDL. Across the full cohort, the starting average velocity of EC transfer to HDL was 2.53 ± 0.83, rising to 2.74 ± 0.64 (P = 0.03) by the conclusion of follow-up. For UC, the analogous readings were 4.08 ± 1.2 initially and 4.4 ± 1.06 subsequently (P = 0.02). The net shift (follow-up less baseline) in EC equaled 0.15 ± 0.84 in the control arm and 0.27 ± 0.69 in the exercise arm (P = 0.53); regarding UC, the shifts came to 0.28 ± 1.14 and 0.35 ± 0.96 (P = 0.80) for the control and exercise arms, respectively. Among post-MI subjects, a 12–14-week course of supervised physical training failed to improve HDL function.