Hepatocellular carcinoma (HCC) is estimated to be the fourth leading cause of cancer-related deaths globally, and its overall prognosis is dismal because most cases are diagnosed at a late stage and are unamenable to curative treatment. The emergence of immune checkpoint inhibitors (ICIs) has dramatically improved the therapeutic efficacy for advanced hepatocellular carcinoma; however, their response rates remain unsatisfactory, partly because >50% of HCC exhibit an ICI-nonresponsive tumor microenvironment characterized by a paucity of cytotoxic T cells (immune-cold), as well as difficulty in their infiltration into tumor sites (immune excluded). To overcome this limitation, combination therapies with locoregional therapies, including ablation, transarterial embolization, and radiotherapy, which are usually used for early stage HCCs, have been actively explored to enhance ICI efficacy by promoting the release of tumor-associated antigens and cytokines, and eventually accelerating the so-called cancer–immunity cycle. Various combination therapies have been investigated in early- to late-phase clinical trials, and some have shown promising results. This comprehensive article provides an overview of the immune landscape for HCC to understand ICI efficacy and its limitations and, subsequently, reviews the status of combinatorial therapies of ICIs with locoregional therapy for HCC.