Despite numerous improved treatment methods used in recent years, hepatocellular carcinoma (HCC) is still a disease with a high mortality rate. Many recent studies have shown that immunotherapy has great potential for cancer treatment. Exosomes play a significant role in negatively regulating the immune system in HCC. Understanding how these exosomes play a role in innate and adaptive immunity in HCC can significantly improve the immunotherapeutic effects on HCC. Further, engineered exosomes can deliver different drugs and RNA molecules to regulate the immune microenvironment of HCC by regulating the aforementioned immune pathway, thereby significantly improving the mortality rate of HCC. This study aimed to declare the role of exosomes in the development of the immune microenvironment in HCC and list engineered exosomes that could be used for clinical transformation therapy. These findings might be beneficial for clinical patients.