Cardiovascular (CV) events are increased 36-fold in patients with end-stage renal disease. However, randomized controlled trials to lower LDL cholesterol (LDL-C) and serum total cholesterol (TC) have not shown significant mortality improvements. An inverse association of TC and LDL-C with all-cause and CV mortality has been observed in patients on chronic dialysis. Lipoproteins also may protect against infectious diseases. We used data from 37,250 patients in the international Monitoring Dialysis Outcomes (MONDO) database to evaluate the association between lipids and infection-related or CV mortality. The study began on the first day of lipid measurement and continued for up to 4 years. We applied Cox proportional models with time-varying covariates to study associations of LDL-C, HDL cholesterol (HDL-C), and triglycerides (TGs) with all-cause, CV, infectious, and other causes of death. Overall, 6,147 patients died (19.2% from CV, 13.2% from infection, and 67.6% from other causes). After multivariable adjustment, higher LDL-C, HDL-C, and TGs were independently associated with lower all-cause death risk. Neither LDL-C nor TGs were associated with CV death, and HDL-C was associated with lower CV risk. Higher LDL-C and HDL-C were associated with a lower risk of death from infection or other non-CV causes. LDL-C was associated with reduced all-cause and infectious, but not CV mortality, which resulted in the inverse association with all-cause mortality.