Settings - Miscellaneous - General - HUD Quickslot size
and
Settings - Miscellaneous - Building - Building Info Baackground Opacity
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Those are the only parts of it you can change through the settings right now. Red51 still neeeds to do a rework of the UI for adding the rest of the controller support in the next couple of updates so chances are the HUD will have more customization then. I know it's something others have asked for in the past along with a colorbind mode and some other accessibility options.
It is actually possible to change at least the opacity of the hotbar on the HUD - but unfortunately this setting isn't exposed to the settings menu yet... but this will change with the next update 
To change the HUD hotbar opacity, you can go to the game directory and open the "config.properties" file with a text editor. Change Game_HUDQuickslotOpacity to a higher value (between 0 and 1) to make the hotbar more opaque. Maybe you also want to change the Game_HUDQuickslotColor setting, which affects the color of the hotbar. It expects an RGB hex value, e.g. to make the hotbar darker, you could just enter #000000.
For the building info box (on the left side when holding a building element in your hands), you can change the opacity in the settings menu, as mentioned by CursedXistence 
Are there other HUD elements you want to change? This also sounds like you want to make the inventory background more opaque?
Will work with what was pointed out. red51, yes, inventory also
Please let me know if you have questions about that or if it doesn't work as intended
But I'll also add an option with the next update to change the inventory opacity^^
