A recent genome-wide association study associated 62 single nucleotide polymorphisms (SNPs) from 43 genomic loci, with fasting lipoprotein subfractions in European-Americans (EAs) at genome-wide levels of significance across three independent samples. Whether these associations are consistent across ethnicities with a non-European ancestry is unknown. We analyzed 15 lipoprotein subfraction measures, on 1677 African-Americans (AAs), 1450 Hispanic-Americans (HAs), and 775 Chinese-Americans (CHN) participating in the multi-ethnic study of atherosclerosis (MESA). Genome-wide data were obtained using the Affymetrix 6.0 and Illumina HumanOmni chips. Linear regression models between genetic variables and lipoprotein subfractions were adjusted for age, gender, body mass index, smoking, study center, and genetic ancestry (based on principal components), and additionally adjusted for Mexican/Non-Mexican status in HAs. A false discovery rate correction was applied separately within the results for each ethnicity to correct for multiple testing. Power calculations revealed that we did not have the power for SNP-based measures of association, so we analyzed phenotype-specific genetic risk scores (GRSs), constructed as in the original genome-wide analysis. We successfully replicated all 15 GRS-lipoprotein associations in 2527 EAs. Among the 15 significant GRS-lipoprotein associations in EAs, 11 were significant in AAs, 13 in HAs, and 1 in CHNs. Further analyses revealed that ethnicity differences could not be explained by differences in linkage disequilibrium, lipid lowering drugs, diabetes, or gender. Our study emphasizes the importance of ethnicity (here indexing genetic ancestry) in genetic risk for CVD and highlights the need to identify ethnicity-specific genetic variants associated with CVD risk.