Hepatocellular carcinoma (HCC) is a significant global health concern and ranks as the third leading cause of cancer-associated mortality. Systemic therapy faces the emergence of resistance, which hinders the clinical benefits. Recent evidence suggests that exosomes, measuring between 30 and 150 nm in size, which impact the antitumor immune responses, making them a promising candidate for cancer immunotherapy. Owing to their unique physical and chemical characteristics, exosomes can be tailored and engineered for a range of therapeutic objectives. In the present review, we outline the immunomodulatory functions of exosomes in the tumor microenvironment (TME) of HCC, aiming to decipher the underlying mechanisms of exosomes in remodeling suppressive TME. Moreover, we provide detailed and intuitive resource for leveraging the potential of exosomes in immunotherapy, presenting valuable strategies to improve and optimize HCC treatment. Despite the huge therapeutic potential of exosomes, significant challenges persist, including the need for standardization in exosome production, optimization of cargo loading techniques, and the assurance of safety and effectiveness in clinical applications. Addressing these challenges may pave the way for exosome-based immunotherapy for HCC patients.