Hernandez, 23, appeared at his arraignment in Superior Court in Fall River, Massachusetts, wearing a dark suit jacket and white shirt, said "not guilty" as the charges of first-degree murder and five firearms violations were read aloud.
He was a star tight end for the New England Patriots but was cut by the team within hours of his June 26 arrest.
Lloyd's body was found on June 17 in an industrial area near Hernandez's home in North Attleboro, Massachusetts. Lloyd, 27, had been dating the sister of Hernandez's fiancée.
Prosecutors have said that Hernandez and two other men drove Lloyd to the industrial park and shot him five times.
Hernandez is being held without bail, but Superior Court Judge Frances McIntyre granted a request by Hernandez' attorneys to reserve the right to seek bail in the future. His previous effort to be released on bail was denied.
Hernandez, whose contract with the Patriots had been worth about $40 million, is being held in the Bristol County Jail. The next pretrial hearing has been set for Oct 9.
The Patriots are scheduled to take the field against the Buffalo Bills in New York on Sunday in their first game of the 2013-14 season.
The former Patriots star is also being investigated in connection with a double-murder in Boston in 2012 and has been sued by a Connecticut man who has accused Hernandez of shooting him in the face after a night at a Miami strip club in February. No criminal charges have been filed in either case.