The researchers studied more than 1,500 smokers, including a number who were overweight and obese.
The goal of researchers was to get a group that was representative of the U.S. population. After one year, more than 300 people in the group had stopped smoking.
The study found that their good cholesterol increased by an average of 5 percent, even though many gained weight after they stopped smoking.
Researchers are not certain yet why there may be a link but they say smoking can damage the proteins that control the breakdown of cholesterol.
This study is reported in the American Heart Journal.