Dyslipoproteinemia is highly prevalent in diabetes, chronic kidney disease, and diabetic kidney disease (DKD). Both diabetes and chronic kidney disease (CKD) are associated with hypertriglyceridemia, lower high-density lipoprotein, and higher small, dense low-density lipoprotein. A number of observational studies have reported that dyslipidemia may be associated with albuminuria, renal function impairment, and end-stage renal disease (ESRD) in the general population, and especially in CKD and DKD patients. Diabetic glomerulopathy and the related albuminuria are the main manifestations of DKD. Numerous animal studies support the finding that glomerular atherosclerosis is the main mechanism of glomerulosclerosis in CKD and DKD. Some randomized, controlled trials suggest the use of statins for the prevention of albuminuria and renal function impairment in CKD and DKD patients. However, a large clinical study, the Study of Heart and Renal Protection (SHARP), does not support that statins could reduce ESRD in CKD. In this article, we analyze the complex association of dyslipoproteinemia with DKD and deduce its relevance from animal studies, observational studies, and clinical trials. We show that special subgroups could benefit from the statin treatment.