Hepatocellular carcinoma (HCC) represents the most commonly diagnosed liver cancer worldwide, and the overall survival of patients with unresectable disease is poor. In the last five years, immune checkpoint inhibitors (ICIs) have revolutionized the treatment scenario of several hematological and solid tumors, and these agents have been actively explored in unresectable HCC. Firstly, promising findings of phase I and II clinical studies reporting durable responses and a tolerable safety profile have led to the assessment of ICIs as single agents in phase III clinical studies; however, the latter have provided controversial results, and the activity of ICI monotherapy seems limited to a small subgroup of patients. Conversely, the IMbrave150 trial recently showed that, among patients with previously untreated unresectable HCC, treatment with atezolizumab plus bevacizumab resulted in significantly longer overall survival and progression-free survival compared to sorafenib monotherapy. In addition, the activity of several other ICIs is under investigation, as combination immunotherapy as well as combinations of immunotherapy with antiangiogenic agents. Nonetheless, there are currently no validated predictive biomarkers able to guide treatment choice in this setting, where the identification of specific predictors of response to ICIs represents a major challenge. In this review, we aim to provide a critical overview of recent evidence on biochemical predictors of response to ICIs in patients with unresectable HCC, especially focusing on PD-L1, TMB, MSI, and other emerging biomarkers.