Hepatocellular carcinoma (HCC) is the most common type of liver cancer in adults and has one of the highest mortality rates of solid cancers. Ninety percent of HCCs are associated with liver fibrosis or cirrhosis developed from chronic liver injuries. The immune system of the liver contributes to the severity of the necrotic-inflammatory tissue damage, the establishment of fibrosis and cirrhosis, and the disease progression towards HCC. Immunotherapies have emerged as an exciting strategy for HCC treatment, but their effect is limited, and an extensive translation research is urgently needed to enhance anti-tumor efficacy and clinical success. Establishing HCC animal models that are analogous to human disease settings, i.e., mimicking the tumor microenvironment of HCC, is extremely challenging. Hence, this review discusses different animal models of HCC by summarizing their advantages and their limits with a specific focus on the role of the immune system and tumor microenvironment.