The liver is the sixth most common site of primary cancer in humans and the fourth leading cause of cancer-related death in the world. Hepatocellular carcinoma (HCC) accounts for 90% of liver cancers. HCC is a prevalent disease with a progression that is modulated by the immune system. Half of the patients with HCC receive systemic therapies, traditionally sorafenib or lenvatinib, as a first-line therapy. In the last few years, immune-checkpoint inhibitors (ICIs) have revolutionized cancer therapy and have gained an increased interest in the treatment of HCC. In 2020, the combination of atezolizumab (anti-programmed death-ligand 1) and bevacizumab (antivascular endothelial growth factor) improved overall survival over sorafenib, resulting in Food and Drug Administration (FDA) approval as a first-line treatment for patients with advanced HCC. Despite these major advances, a better molecular and cellular characterization of the tumor microenvironment is still needed because it has a crucial role in the development and progression of HCC. Inflamed (hot) and noninflamed (cold) HCC tumors and genomic signatures have been associated with response to ICIs. However, there are no additional biomarkers to guide clinical decision-making. Other immune-targeting strategies, such as adoptive T-cell transfer, vaccination, and virotherapy, are currently under development. This review provides an overview on the HCC immune microenvironment, different cellular players, current available immunotherapies, and potential immunotherapy modalities.