We claim that (1) cholesterol protects bilayers from disruption caused by lipid oxidation by sequestering conical shaped oxidized lipid species such as 1-palmitoyl-2-azelaoyl-sn-glycero-3-phosphocholine (PZPC) away from phospholipid, because cholesterol and the oxidized lipid have complementary shapes and (2) mixtures of cholesterol and oxidized lipids can self-assemble into bilayers much like lysolipid–cholesterol mixtures. The evidence for bilayer protection comes from molecular dynamics (MD) simulations and dynamic light scattering (DLS) measurements. Unimodal size distributions of extruded vesicles (LUVETs) made up of a mixture of 1,2-dioleoyl-sn-glycero-3-phosphocholine (DOPC) and PZPC containing high amounts of PZPC are only obtained when cholesterol is present in high concentrations. In simulations, bilayers containing high amounts of PZPC become porous, unless cholesterol is also present. The protective effect of cholesterol on oxidized lipids has been observed previously using electron paramagnetic resonance (EPR) and electron microscopy imaging of vesicles. The evidence for the pairing of cholesterol and PZPC comes mainly from correlated 2-D density and thickness plots from simulations, which show that these two molecules co-localize in bilayers. Further evidence that the two molecules can cohabitate comes from self-assembly simulations, where we show that cholesterol-oxidized lipid mixtures can form lamellar phases at specific concentrations, reminiscent of lysolipid–cholesterol mixtures. The additivity of the packing parameters of cholesterol and PZPC explains their cohabitation in a planar bilayer. Oxidized lipids are ubiquitously present in significant amounts in high- and low-density lipoprotein (HDL and LDL) particles, diseased tissues, and in model phospholipid mixtures containing polyunsaturated lipids. Therefore, our hypothesis has important consequences for cellular cholesterol trafficking; diseases related to oxidized lipids, and to biophysical studies of phase behaviour of cholesterol-containing phospholipid mixtures.