Hepatocellular carcinoma (HCC), the most common primary liver malignancy and the sixth most common cancer globally, remains fatal for many patients with inappropriate responses to treatment. Recent advancements in immunotherapy have transformed the treatment landscape for advanced HCC. However, variability in patient responses to immunotherapy highlights the need for biomarkers that can predict treatment outcomes. This manuscript comprehensively reviews the evolving role of biomarkers in immunotherapy efficacy, spanning from blood-derived indicators—alpha-fetoprotein, inflammatory markers, cytokines, circulating tumor cells, and their DNA—to tissue-derived indicators—programmed cell death ligand 1 expression, tumor mutational burden, microsatellite instability, and tumor-infiltrating lymphocytes. The current body of evidence suggests that these biomarkers hold promise for improving patient selection and predicting immunotherapy outcomes. Each biomarker offers unique insights into disease biology and the immune landscape of HCC, potentially enhancing the precision of treatment strategies. However, challenges such as methodological variability, high costs, inconsistent findings, and the need for large-scale validation in well-powered two-arm trial studies persist, making them currently unsuitable for integration into standard care. Addressing these challenges through standardized techniques and implementation of further studies will be critical for the future incorporation of these biomarkers into clinical practice for advanced HCC.