Hepatocellular carcinoma (HCC) is a leading cause of cancer-associated mortality worldwide. HCC is an inflammation-associated immunogenic cancer that frequently arises in chronically inflamed livers. Advanced HCC is managed with systemic therapies; the tyrosine kinase inhibitor (TKI) sorafenib has been used in 1-line setting since 2007. Immunotherapies have emerged as promising treatments across solid tumors including HCC for which immune checkpoint inhibitors (ICIs) are licensed in 1- and 2-line treatment setting. The treatment field of advanced HCC is continuously evolving. Several clinical trials are investigating novel ICI candidates as well as new ICI regimens in combination with other therapeutic modalities including systemic agents, such as other ICIs, TKIs, and anti-angiogenics. Novel immunotherapies including adoptive cell transfer, vaccine-based approaches, and virotherapy are also being brought to the fore. Yet, despite advances, several challenges persist. Lack of real-world data on the use of immunotherapy for advanced HCC in patients outside of clinical trials constitutes a main limitation hindering the breadth of application and generalizability of data to this larger and more diverse patient cohort. Consequently, issues encountered in real-world practice include patient ineligibly for immunotherapy because of contraindications, comorbidities, or poor performance status; lack of response, efficacy, and safety data; and cost-effectiveness. Further real-world data from high-quality large prospective cohort studies of immunotherapy in patients with advanced HCC is mandated to aid evidence-based clinical decision-making. This review provides a critical and comprehensive overview of clinical trials and real-world data of immunotherapy for HCC, with a focus on ICIs, as well as novel immunotherapy strategies underway.