Pyroptosis is an inflammatory form of programmed cell death that is involved in various cancers, including hepatocellular carcinoma (HCC). Long non-coding RNAs (lncRNAs) were recently verified as crucial mediators in the regulation of pyroptosis. However, the role of pyroptosis-related lncRNAs in HCC and their associations with prognosis have not been reported. In this study, we constructed a prognostic signature based on pyroptosis-related differentially expressed lncRNAs in HCC. A co-expression network of pyroptosis-related mRNAs-lncRNAs was constructed based on HCC data from The Cancer Genome Atlas. Cox regression analyses were performed to construct a pyroptosis-related lncRNA signature (PRlncSig) in a training cohort, which was subsequently validated in a testing cohort and a combination of the two cohorts. Kaplan-Meier analyses revealed that patients in the high-risk group had poorer survival times. Receiver operating characteristic curve and principal component analyses further verified the accuracy of the PRlncSig model. Besides, the external cohort validation confirmed the robustness of PRlncSig. Furthermore, a nomogram based on the PRlncSig score and clinical characteristics was established and shown to have robust prediction ability. In addition, gene set enrichment analysis revealed that the RNA degradation, the cell cycle, the WNT signaling pathway, and numerous immune processes were significantly enriched in the high-risk group compared to the low-risk group. Moreover, the immune cell subpopulations, the expression of immune checkpoint genes, and response to chemotherapy and immunotherapy differed significantly between the high- and low-risk groups. Finally, the expression levels of the five lncRNAs in the signature were validated by quantitative real-time PCR. In summary, our PRlncSig model shows significant predictive value with respect to prognosis of HCC patients and could provide clinical guidance for individualized immunotherapy.