Atherosclerosis remains a major challenge to global healthcare despite decades of research and constant trials of novel therapeutic approaches. One feature that makes atherosclerosis treatment so elusive is an insufficient understanding of its origins and the early stages of the pathological process, which limits our means of effective prevention of the disease. Macrovascular pericytes are cells with distinct shapes that are located in the arterial wall of larger vessels and are in many aspects similar to microvascular pericytes that maintain the functionality of small vessels and capillaries. This cell type combines the residual contractile function of smooth muscle cells with a distinct stellar shape that allows these cells to make numerous contacts between themselves and the adjacent endothelial layer. Moreover, pericytes can take part in the immune defense and are able to take up lipids in the course of atherosclerotic lesion development. In growing atherosclerotic plaques, the morphology and function of pericytes change dramatically due to phagocytic and synthetic phenotypes that are actively involved in lipid accumulation and extracellular matrix synthesis. In this review, we summarize our knowledge of this less-studied cell type and its role in atherosclerosis.