Alterations in cellular signaling, chronic inflammation, and tissue remodeling contribute to hepatocellular carcinoma (HCC) development. The release of damage-associated molecular patterns (DAMPs) upon tissue injury and the ensuing sterile inflammation have also been attributed a role in HCC pathogenesis. Cargoes of extracellular vesicles (EVs) and/or EVs themselves have been listed among circulating DAMPs but only partially investigated in HCC. Mitochondria-derived vesicles (MDVs), a subpopulation of EVs, are another missing link in the comprehension of the molecular mechanisms underlying the onset and progression of HCC biology. EVs have been involved in HCC growth, dissemination, angiogenesis, and immunosurveillance escape. The contribution of MDVs to these processes is presently unclear. Pyroptosis triggers systemic inflammation through caspase-dependent apoptotic cell death and is implicated in tumor immunity. The analysis of this process, together with MDV characterization, may help capture the relationship among HCC development, mitochondrial quality control, and inflammation. The combination of immune checkpoint inhibitors (i.e., atezolizumab and bevacizumab) has been approved as a synergistic first-line systemic treatment for unresectable or advanced HCC. The lack of biomarkers that may allow prediction of treatment response and, therefore, patient selection, is a major unmet need. Herein, we overview the molecular mechanisms linking mitochondrial dysfunction, inflammation, and pyroptosis, and discuss how immunotherapy targets, at least partly, these routes.