Blood lipid traits are treatable and heritable risk factors for heart disease, a leading cause of mortality worldwide. Although genome-wide association studies (GWAS) have discovered hundreds of variants associated with lipids in humans, most of the causal mechanisms of lipids remain unknown. To better understand the biological processes underlying lipid metabolism, we investigated the associations of plasma protein levels with total cholesterol (TC), triglycerides (TG), high-density lipoprotein cholesterol (HDL), and low-density lipoprotein cholesterol (LDL) in blood. We trained protein prediction models based on samples in the Multi-Ethnic Study of Atherosclerosis (MESA) and applied them to conduct proteome-wide association studies (PWAS) for lipids using the Global Lipids Genetics Consortium (GLGC) data. Of the 749 proteins tested, 42 were significantly associated with at least one lipid trait. Furthermore, we performed transcriptome-wide association studies (TWAS) for lipids using 9,714 gene expression prediction models trained on samples from peripheral blood mononuclear cells (PBMCs) in MESA and 49 tissues in the Genotype-Tissue Expression (GTEx) project. We found that although PWAS and TWAS can show different directions of associations in an individual gene, 40 out of 49 tissues showed a positive correlation between PWAS and TWAS signed p-values across all the genes, which suggests a high-level consistency between proteome-lipid associations and transcriptome-lipid associations.