Background <p>The ratio of non-high-density lipoprotein cholesterol to high-density lipoprotein cholesterol (NHHR), a new lipid marker, can comprehensively reflect the lipid metabolic status of an individual. This study aimed to investigate the association between the NHHR and endometriosis, as well as the potential mediating role of a novel immuno-nutritional score, the C-reactive protein–albumin–lymphocyte (CALLY) index, in this relationship.</p> Methods <p>The National Health and Nutrition Examination Survey (NHANES) 2001–2006 data were utilized for analysis. The link between NHHR values and EMS prevalence was examined via the multivariable logistic regression (MLR) models. The dose-response association was assessed through restricted cubic spline models. The stability of the findings was confirmed by subgroup analyses and interaction tests. A mediation analysis was conducted to investigate whether the CALLY index mediated the association between NHHR and endometriosis.</p> Results <p>A total of 3994 female individuals were included, with an overall EMS prevalence of 7.19% (<i>n</i> = 287 cases out of 3994). Weighted MLR analysis demonstrated that, in the fully controlled model, every unit rise in NHHR was linked to 14.3% greater odds of having EMS (OR = 1.143, 95% CI: 1.001–1.306, <i>P</i> = 0.049). The robustness of the results was verified by subgroup analyses. Mediation analysis indicated that the CALLY index partially mediated 13.95% of the association between NHHR and endometriosis.</p> Conclusion <p>This study revealed a positive linear association between NHHR levels and the odds of having endometriosis, with the CALLY index partially mediating this relationship. Therefore, active management of lipid levels may contribute to decreasing EMS prevalence.</p>