About one-fourth of adults globally suffer from nonalcoholic fatty liver disease (NAFLD), which is becoming a leading cause of chronic liver disease worldwide. Its prevalence has rapidly increased in recent years, and is projected to increase even more. NAFLD is a leading cause of hepatocellular carcinoma (HCC), the sixth-most prevalent cancer worldwide and the fourth most common cause of cancer-related death. Although the molecular basis of HCC onset in NAFLD is not completely known, inflammation is a key player. The tumor microenvironment (TME) is heterogeneous in patients with HCC, and is characterized by complex interactions between immune system cells, tumor cells and other stromal and resident liver cells. The etiology of liver disease plays a role in controlling the TME and modulating the immune response. Markers of immune suppression in the TME are associated with a poor prognosis in several solid tumors. Immunotherapy with immune checkpoint inhibitors (ICIs) has become the main option for treating cancers, including HCC. However, meta-analyses have shown that patients with NAFLD-related HCC are less likely to benefit from therapy based on ICIs alone. Conversely, the addition of an angiogenesis inhibitor showed better results regarding the objective response rate and progression-free survival. Adjunctive diagnostic and therapeutic strategies, such as the application of novel biomarkers and the modulation of gut microbiota, should be considered in the future to guide personalized medicine and improve the response to ICIs in patients with NAFLD-related HCC.