Hepatocellular carcinoma (HCC) is one of the most common causes of cancer-related deaths worldwide and its incidence is rising. Percutaneous locoregional therapies, such as radiofrequency ablation and microwave ablation, are widely used as curative treatment options for patients with small HCC, but their effectiveness remains restricted because of the associated high rate of recurrence, occurring in about 70% of patients at five years. These thermal ablation techniques have the particularity to induce immunomodulation by destroying tumours, although this is not sufficient to raise an effective antitumour immune response. Ablative therapies combined with immunotherapies could act synergistically to enhance antitumour immunity. This review aims to understand the different immune changes triggered by radiofrequency ablation and microwave ablation as well as the interest in using immunotherapies in combination with thermal ablation techniques as a tool for complementary immunomodulation.