One of the most important abilities of a tumor is to establish a state of immunosuppression inside the tumor microenvironment. This is made possible through numerous mechanisms of tumor immune escape that have been identified in experimental studies during the last decades. In addition, the hepatic microenvironment is commonly oriented towards a state of immune tolerance because the liver receives blood from the hepatic arteries and portal veins containing a variety of endogenous antigens. Therefore, the hepatic microenvironment establishes an autoimmune tolerance, preventing an autoimmune reaction in the liver. On this basis, hepatic tumor cells may escape the immune system, avoiding being recognized and destroyed by immune cells. Moreover, since the etiology of Hepatocellular Carcinoma (HCC) is often related to cirrhosis, and hepatitis B or C, this tumor develops in the context of chronic inflammation. Thus, the HCC microenvironment is characterized by important immune cell infiltration. Given these data and the poor prognosis of advanced HCC, different immunotherapeutic strategies have been developed and evaluated for these patients. In this review, we describe all the clinical applications of immunotherapy for advanced HCC, from the drugs that have already been approved to the ongoing clinical trials.