Hepatocellular carcinoma (HCC) is one of the most lethal malignancies, having a significantly poor prognosis and no sufficiently efficient treatments. Immunotherapy, especially immune checkpoint inhibitors (ICIs), has provided new therapeutic approaches for HCC patients. Nevertheless, most patients with HCC do not benefit from immunotherapy. Exosomes are biologically active lipid bilayer nano-sized vesicles ranging in size from 30 to 150 nm and can be secreted by almost any cell. In the HCC tumor microenvironment (TME), numerous cells are involved in tumor progression, and exosomes—derived from tumor cells and immune cells—exhibit unique composition profiles and act as intercellular communicators by transporting various substances. Showing the dual characteristics of tumor promotion and suppression, exosomes exert multiple functions in shaping tumor immune responses in the crosstalk between tumor cells and surrounding immune cells, mediating immunotherapy resistance by affecting the PD-1/PD-L1 axis or the anti-tumor function of immune cells in the TME. Targeting exosomes or the application of exosomes as therapies is involved in many aspects of HCC immunotherapies (e.g., ICIs, tumor vaccines, and adoptive cell therapy) and may substantially enhance their efficacy. In this review, we discuss the impact of exosomes on the HCC TME and comprehensively summarize the role of exosomes in immunotherapy resistance and therapeutic application. We also discuss the potential of exosomes as biomarkers for predicting the efficacy of immunotherapy to help clinicians in identifying HCC patients who are amenable to immunotherapies.