The treatment perspectives of advanced hepatocellular carcinoma (HCC) have deeply changed after the introduction of immunotherapy. The results in responders show improved survival compared with Sorafenib, but only one-third of patients achieve a significant benefit from treatment. As the tumor microenvironment exerts a central role in shaping the response to immunotherapy, the future goal of HCC treatment should be to identify a proxy of the hepatic tissue condition that is easy to use in clinical practice. Therefore, the search for biomarkers that are accurate in predicting prognosis will be the hot topic in the therapeutic management of HCC in the near future. Understanding the mechanisms of resistance to immunotherapy may expand the patient population that will benefit from it, and help researchers to find new combination regimens to improve patients’ outcomes. In this review, we describe the current knowledge on the prognostic non-invasive biomarkers related to treatment with immune checkpoint inhibitors, focusing on serological markers and gut microbiota.