The lipolytic processing of triglyceride-rich lipoproteins by lipoprotein lipase (LPL) is the central event in plasma lipid metabolism, providing lipids for storage in adipose tissue and fuel for vital organs such as the heart. LPL is synthesized and secreted by myocytes and adipocytes, but then finds its way into the lumen of capillaries, where it hydrolyzes lipoprotein triglycerides. The mechanism by which LPL reaches the lumen of capillaries has remained an unresolved problem of plasma lipid metabolism. Here, we show that GPIHBP1 is responsible for the transport of LPL into capillaries. In Gpihbp1-deficient mice, LPL is mislocalized to the interstitial spaces surrounding myocytes and adipocytes. Also, we show that GPIHBP1 is located at the basolateral surface of capillary endothelial cells and actively transports LPL across endothelial cells. Our experiments define the function of GPIHBP1 in triglyceride metabolism and provide a mechanism for the transport of LPL into capillaries.