Hepatocellular carcinoma (HCC) is the most common primary liver tumor, which stands fourth in rank of cancer-related deaths worldwide. The incidence of HCC is constantly increasing in correlation with the epidemic in diabetes and obesity, arguing for an urgent need for new treatments for this lethal cancer refractory to conventional treatments. HCC is the paradigm of inflammation-associated cancer, since more than 80% of HCC emerge consecutively to cirrhosis associated with a vast remodeling of liver microenvironment. In the recent decade, immunomodulatory drugs have been developed and have given impressive results in melanoma and later in several other cancers. In the present review, we will discuss the recent advancements concerning the use of immunotherapies in HCC, in particular those targeting immune checkpoints, used alone or in combination with other anti-cancers agents. We will address why these drugs demonstrate unsatisfactory results in a high proportion of liver cancers and the mechanisms of resistance developed by HCC to evade immune response with a focus on the epigenetic-related mechanisms.