Hepatocellular carcinoma (HCC) is a major health concern worldwide, with limited therapeutic options and poor prognosis. In recent years, immunotherapies such as immune checkpoint inhibitors (ICIs) have made great progress in the systemic treatment of HCC. The combination treatments based on ICIs have been the major trend in this area. Recently, dual immune checkpoint blockade with durvalumab plus tremelimumab has also emerged as an effective treatment for advanced HCC. However, the majority of HCC patients obtain limited benefits. Understanding the immunological rationale and exploring novel ways to improve the efficacy of immunotherapy has drawn much attention. In this review, we summarize the latest progress in this area, the ongoing clinical trials of immune-based combination therapies, as well as novel immunotherapy strategies such as chimeric antigen receptor T cells, personalized neoantigen vaccines, oncolytic viruses, and bispecific antibodies.