Immunotherapy has remarkably revolutionized the management of advanced HCC and prompted clinical trials, with therapeutic agents being used to selectively target immune cells rather than cancer cells. Currently, there is great interest in the possibility of combining locoregional treatments with immunotherapy for HCC, as this combination is emerging as an effective and synergistic tool for enhancing immunity. On the one hand, immunotherapy could amplify and prolong the antitumoral immune response of locoregional treatments, improving patients’ outcomes and reducing recurrence rates. On the other hand, locoregional therapies have been shown to positively alter the tumor immune microenvironment and could therefore enhance the efficacy of immunotherapy. Despite the encouraging results, many unanswered questions still remain, including which immunotherapy and locoregional treatment can guarantee the best survival and clinical outcomes; the most effective timing and sequence to obtain the most effective therapeutic response; and which biological and/or genetic biomarkers can be used to identify patients likely to benefit from this combined approach. Based on the current reported evidence and ongoing trials, the present review summarizes the current application of immunotherapy in combination with locoregional therapies for the treatment of HCC, and provides a critical evaluation of the current status and future directions.