We aimed to investigate the impact of the controlling nutritional status (CONUT) score, an immuno-nutritional biomarker, on the prognosis of patients with hepatocellular carcinoma (HCC) treated with lenvatinib (LEN). This retrospective study enrolled 164 patients with HCC and treated with LEN (median age 73 years, Barcelona Clinic Liver Cancer (BCLC) stage B/C 93/71). Factors associated with overall survival (OS) were evaluated using multivariate and decision tree analyses. OS was calculated using the Kaplan–Meier method and analyzed using the log–rank test. Independent factors for OS were albumin–bilirubin grade 1, BCLC stage B, and CONUT score <5 (hazard ratio (HR) 2.9, 95% confidence interval (CI) 1.58–5.31, p < 0.001). The CONUT score was the most important variable for OS, with OS rates of 70.0% and 29.0% in the low and high CONUT groups, respectively. Additionally, the median survival time was longer in the low CONUT group than in the high CONUT group (median survival time not reached vs. 11.3 months, p < 0.001). The CONUT score was the most important prognostic variable, rather than albumin–bilirubin grade and BCLC stage, in patients with HCC treated with LEN. Accordingly, immuno-nutritional status may be an important factor in the management of patients with HCC treated with LEN.