In recent years, immune checkpoint inhibitors (ICIs) have emerged as a transformative approach in treating advanced hepatocellular carcinoma (HCC). Despite their success, challenges persist, including concerns about their effectiveness, treatment costs, frequent occurrence of treatment-related adverse events, and tumor hyperprogression. Therefore, it is imperative to identify indicators capable of predicting the efficacy of ICIs treatment, enabling optimal patient selection to maximize clinical benefits while minimizing unnecessary toxic side effects and economic losses. This review paper categorizes prognostic biomarkers of ICIs treatment into the following categories: biochemical and cytological indicators, tumor-related markers, imaging and personal features, etiology, gut microbiome, and immune-related adverse events (irAEs). By organizing these indicators systematically, we aim to guide biomarker exploration and inform clinical treatment decisions.